A generalization of the Aumann-Shapley value for risk capital allocation problems.

Tim J. Boonen Anja De Waegenaere Henk Norde

Published in: Eur. J. Oper. Res. (2020)

Keyphrases

allocation problems
resource allocation
game theory
efficient computation
high risk
operational risk
risk assessment
risk factors
game theoretic
risk management
allocation policies
decision making
incomplete information
cooperative game