Risk capital allocation and cooperative pricing of insurance liabilities

@inproceedings{Tsanakas2015RiskCA,
  title={Risk capital allocation and cooperative pricing of insurance liabilities},
  author={Andreas Tsanakas and Christopher R Barnett},
  year={2015}
}
The Aumann–Shapley [Values of Non-atomic Games, Princeton University Press, Princeton] value, originating in cooperative game theory, is used for the allocation of risk capital to portfolios of pooled liabilities, as proposed by Denault [Coherent allocation of risk capital, J. Risk 4 (1) (2001) 1]. We obtain an explicit formula for the Aumann–Shapley value, when the risk measure is given by a distortion premium principle [Axiomatic characterisation of insurance prices, Insur. Math. Econ. 21 (2… CONTINUE READING