Seog, S. Hun; Shin, Sungwhee - In: Asia-Pacific Journal of Risk and Insurance 4 (2009) 1
We compare two prominent approaches to capital allocation in insurance firms. The financial theory approach includes Merton and Perold (1993) and Myers and Read (2001). The cooperative game theory approach utilizes concepts such as the Shapley value and the Aumann-Shapley value. We argue that,...