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Risk capital allocation and cooperative pricing of insurance liabilities
16 references·3 citing·36 second hop
Risk capital allocation and cooperative pricing of insurance liabilities (2003)Risk capital allocation and cooperative p…Values of Non-Atomic Games (2015)Values of Non-Atomic GamesCoherent allocation of risk capital (2001)Coherent allocation of risk c…Risk contributions and performance measurement (2000)Risk contributions and perfor…Coherent risk measures (2000)Coherent risk measuresCoherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasUtility Functions (1998)Utility FunctionsAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…Equilibrium in a Reinsurance Market (1992)Equilibrium in a Reinsurance …A value for n -person games (1988)A value for n -person gamesThe Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Demand Compatible Equitable Cost Sharing Prices (1982)Demand Compatible Equitable C…Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure (1982)Allocation of Shared Costs: A…Cooperative Fuzzy Games (1981)Cooperative Fuzzy GamesAn Economic Premium Principle (1980)An Economic Premium PrincipleEquilibrium in a Reinsurance Market (1962)Equilibrium in a Reinsurance …Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model (2013)Evaluating Risk Measures and …Risk measurement in the presence of background risk (2007)Risk measurement in the prese…Capital Allocation for Insurance Companies — What Good IS IT ? (2007)Capital Allocation for Insura…A Course in Game Theory (1994)Expected shortfall and beyond (2002)AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)Measuring the systemic importance of interconnected banks (2013)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Subjective probability and expected utility without additivity (2004)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Existence of an Equilibrium for a Competitive Economy (1954)The Design of an Optimal Insurance Policy (1992)Inf-convolution of risk measures and optimal risk transfer (2005)Insurance within the Firm (2005)Theory of games and economic behavior (2019)Theory of Games and Economic Behavior (1945)A solution approach to valuation with unhedgeable risks (2001)Measures of risk (2002)Dynamic coherent risk measures (2004)Cores of convex games (1971)Graphs and Cooperation in Games (1977)Property Rights and the Nature of the Firm (1990)Mathematical Properties of the Banzhaf Power Index (1979)Potential, Value, and Consistency (1989)A mutualistic approach to morality: The evolution of fairness by partner choice (2013)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)On convex principles of premium calculation (1985)A Universal Framework for Pricing Financial and Insurance Risks (2002)Insurance Risk and Ruin (2005)The Market for Catastrophe Risk: A Clinical Examination (1999)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1988A value for n -person games4,956 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2015Values of Non-Atomic Games742 cited
  • 1962Equilibrium in a Reinsurance Market700 cited
  • 1992Equilibrium in a Reinsurance Market562 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2001Coherent allocation of risk capital422 cited
  • 1980An Economic Premium Principle332 cited
  • 1981Cooperative Fuzzy Games332 cited
  • 2000Coherent risk measures308 cited
  • 2000Risk contributions and performance measurement260 cited
  • 1982Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure185 cited
  • 1998Utility Functions164 cited
  • 1982Demand Compatible Equitable Cost Sharing Prices135 cited

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  • 2007Capital Allocation for Insurance Companies — What Good IS IT ?

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70 cited
  • 2007Risk measurement in the presence of background risk38 cited
  • 2013Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model35 cited