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  • Search: subject:"Lorenz undominated elements of the core"
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Year of publication
Subject
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Coherent risk allocation 2 Cost allocation 2 Egalitarian allocation 2 Lorenz undominated elements of the core 2 Risk capital 2 Allocation 1 Allokation 1 Core 1 Game theory 1 Kostenverrechnung 1 Lorenz curve 1 Lorenz-Kurve 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikokapital 1 Risikomanagement 1 Risk 1 Risk management 1 Spieltheorie 1 Venture capital 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Hougaard, Jens Leth 2 Smilgins, Aleksandrs 2
Institution
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Centre of Management Science and Production Economics, Københavns Universitet 1
Published in...
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Insurance / Mathematics & economics 1 MSAP Working Paper Series 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Risk Capital Allocation: The Lorenz Set
Hougaard, Jens Leth; Smilgins, Aleksandrs - Centre of Management Science and Production Economics, … - 2014
Risk capital allocation problems have been widely discussed in the academic literature. We consider a company with multiple subunits having individual portfolios. Hence, when portfolios of subunits are merged, a diversification benefit arises: the risk of the company as a whole is smaller than...
Persistent link: https://www.econbiz.de/10010892241
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Cover Image
Risk capital allocation with autonomous subunits : the Lorenz set
Hougaard, Jens Leth; Smilgins, Aleksandrs - In: Insurance / Mathematics & economics 67 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011457222
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