In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

This paper introduces the family of Weighted Aumann-Shapley values for piecewise linear fuzzy games. The regular Aumann-Shapley value is not well-defined in case some differentiability condition is not satisfied. As an alternative, we introduce a family of allocation rules inspired by the...

We study the relation between the fuzzy core and balancedness for fuzzy games. For regular games, this relation has been studied by Bondareva (1963) and Shapley (1967). First, we gain insight in this relation when we analyse situations where the fuzzy game is continuous. Our main result shows...