Risk capital allocation with autonomous subunits : the Lorenz set

Jens Leth Hougaard, Aleksandrs Smilgins (IFRO, University of Copenhagen, Denmark)

Year of publication:	March 2016
Authors:	Hougaard, Jens Leth ; Smilgins, Aleksandrs
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 151-157
Subject:	Risk capital \| Cost allocation \| Lorenz undominated elements of the core \| Coherent risk allocation \| Egalitarian allocation \| Allokation \| Allocation \| Risiko \| Risk \| Risikomanagement \| Risk management \| Spieltheorie \| Game theory \| Core \| Lorenz-Kurve \| Lorenz curve \| Portfolio-Management \| Portfolio selection \| Kostenverrechnung \| Risikokapital \| Venture capital

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