A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

T.J. Boonen, Anja De Waegenaere () and Henk Norde
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T.J. Boonen: Tilburg University, Center For Economic Research

No 2012-091, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: capital allocation; risk capital; Aumann-Shapley value; non-differentiability; fuzzy games (search for similar items in EconPapers)
Date: 2012
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Journal Article: A generalization of the Aumann–Shapley value for risk capital allocation problems (2020)
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