Major (2018) discusses Euler/Aumann-Shapley allocations for non-linear portfolios. He argues convincingly that many (re)insurance portfolios, while non-linear, are nevertheless positively homogeneous, owing to the way that deductibles and limits are typically set. For such non-linear but...

Tsanakas and Barnett (2002) employed concepts from cooperative game theory (Aumann and Shapley, 1974) for the allocation of risk capital to portfolios of pooled liabilities, when distortion risk measures (Wang et al., 1997) are used. In this paper we generalise previously obtained results in...

The Aumann-Shapley (1974) value, originating in cooperative game theory, is used for the allocation of risk capital to portfolios of pooled liabilities, as proposed by Denault (2001). We obtain an explicit formula for the Aumann-Shapley value, when the risk measure is given by a distortion...

We consider capital allocation in a hierarchical corporate structure where stakeholders at two organizational levels (e.g. board members vs. line managers) may have conflicting objectives, preferences, and beliefs about risk. Capital allocation is considered as the solution to an optimization...

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance...