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Dynamic risk-sharing game and reinsurance contract design
Chen, Shumin; Liu, Yanchu; Weng, Chengguo - In: Insurance / Mathematics & economics 86 (2019), pp. 216-231
Persistent link: https://www.econbiz.de/10012058864
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Adversarial risk analysis under partial information
Roponen, Juho; Ríos Insua, David; Salo, Ahti A. - In: European journal of operational research : EJOR 287 (2020) 1, pp. 306-316
Persistent link: https://www.econbiz.de/10012293799
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Elusive beliefs: why uncertainty leads to stochastic choice and errors
Wolff, Irenaeus; Bauer, Dominik - 2018 - This version: 28th February, 2018
Persistent link: https://www.econbiz.de/10011865405
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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Uniqueness of convex-ranged probabilities and applications to risk measures and games
Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763
Persistent link: https://www.econbiz.de/10015211767
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Pooling risk games
Alon, Tzvi; Haviv, Moshe - In: International game theory review 22 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012582722
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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal …
Persistent link: https://www.econbiz.de/10010481803
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Properties and comparison of risk capital allocation methods
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - In: European journal of operational research : EJOR 259 (2017) 2, pp. 614-625
Persistent link: https://www.econbiz.de/10011661761
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Fair risk allocation in illiquid markets
Csóka, Péter - In: Finance research letters 21 (2017), pp. 228-234
Persistent link: https://www.econbiz.de/10011807792