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North American Actuarial Journal Volume 11, 2007 - Issue 3
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Original Articles

Using Aumann-Shapley Values to Allocate Insurance Risk

The Case of Inhomogeneous Losses

Michael R. Powers PhD Risk, Insurance, and Healthcare Management, The Fox School, Temple University, Philadelphia, PA, 19122
Pages 113-127 | Published online: 02 Jan 2013

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Shinichi Kamiya & George Zanjani. (2017) Egalitarian Equivalent Capital Allocation. North American Actuarial Journal 21:3, pages 382-396.
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Articles from other publishers (28)

Wing Fung Chong, Runhuan Feng & Longhao Jin. (2021) Holistic principle for risk aggregation and capital allocation. Annals of Operations Research 330:1-2, pages 21-54.
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Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz & Edwin Hon-Man Ng. (2023) Risk allocation through shapley decompositions, with applications to variable annuities. ASTIN Bulletin, pages 1-21.
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Fabio Gómez, Qihe Tang & Zhiwei Tong. (2022) The gradient allocation principle based on the higher moment risk measure. Journal of Banking & Finance 143, pages 106544.
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Stephen J. Mildenhall & John A. Major. 2022. Pricing Insurance Risk. Pricing Insurance Risk 507 522 .
Christoph Frei. (2020) A New Approach to Risk Attribution and Its Application in Credit Risk Analysis. Risks 8:2, pages 65.
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Tim J. Boonen, Anja De Waegenaere & Henk Norde. (2020) A generalization of the Aumann–Shapley value for risk capital allocation problems. European Journal of Operational Research 282:1, pages 277-287.
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Eric Bahel & Christian Trudeau. (2018) Consistency requirements and pattern methods in cost sharing problems with technological cooperation. International Journal of Game Theory 47:3, pages 737-765.
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Stephen Mildenhall. (2017) Actuarial Geometry. Risks 5:2, pages 31.
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Tim J. Boonen, Andreas Tsanakas & Mario V. Wüthrich. (2017) Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics and Economics 72, pages 95-106.
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Daniel Bauer & George Zanjani. (2016) The Marginal Cost of Risk, Risk Measures, and Capital Allocation. Management Science 62:5, pages 1431-1457.
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Ohad KadanFang LiuSuying Liu. (2016) Generalized Systematic Risk. American Economic Journal: Microeconomics 8:2, pages 86-127.
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Michael R. Powers & George Zanjani. (2013) Insurance Risk, Risk Measures, and Capital Allocation: Navigating a Copernican Shift. Annual Review of Financial Economics 5:1, pages 201-223.
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Daniel Bauer & George H. Zanjani. 2013. Handbook of Insurance. Handbook of Insurance 863 880 .
Dorothea Diers. (2012) Der Einsatz interner Modelle beim mehrjährigen Enterprise Risk Management. Zeitschrift für die gesamte Versicherungswissenschaft 101:5, pages 597-604.
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Dorothea Diers. (2012) A multi‐year risk capital concept for internal models and enterprise risk management. The Journal of Risk Finance 13:5, pages 424-437.
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Dorothea Diers, Martin Eling, Christian Kraus & Andreas Reuß. (2012) Market‐consistent embedded value in non‐life insurance: how to measure it and why. The Journal of Risk Finance 13:4, pages 320-346.
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Gerwald van Gulick, Anja De Waegenaere & Henk Norde. (2012) Excess based allocation of risk capital. Insurance: Mathematics and Economics 50:1, pages 26-42.
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George Zanjani. (2010) An Economic Approach to Capital Allocation . Journal of Risk and Insurance 77:3, pages 523-549.
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Joseph H.T. Kim & Mary R. Hardy. (2009) A capital allocation based on a solvency exchange option. Insurance: Mathematics and Economics 44:3, pages 357-366.
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Michael R. Powers. (2009) Rethinking risk and return: Part 1 – novel norms for non‐normality?. The Journal of Risk Finance 10:2, pages 101-106.
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Michael R. Powers. (2007) Sharing responsibility: what they didn't teach you in kindergarten. The Journal of Risk Finance 8:2, pages 93-96.
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Tim J. Boonen & Mario V. Wuthrich. (2016) Capital Allocation for Insurance Portfolios with Non-Linear Risk Aggregation. SSRN Electronic Journal.
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Shinichi Kamiya & George H. Zanjani. (2015) Egalitarian Equivalent Capital Allocation. SSRN Electronic Journal.
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Ohad Kadan, Fang Liu & Suying Liu. (2014) Generalized Systematic Risk. SSRN Electronic Journal.
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Kolja Loebnitz & Berend Roorda. (2011) Liquidity Risk Meets Economic Capital and RAROC. SSRN Electronic Journal.
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Gerwald van Gulick, Anja M.B. De Waegenaere & Henk W. Norde. (2010) Excess Based Allocation of Risk Capital. SSRN Electronic Journal.
Crossref
Daniel Bauer & George H. Zanjani. (2011) The Marginal Cost of Risk, Risk Measures, and Capital Allocation. SSRN Electronic Journal.
Crossref
Gerwald van Gulick, Anja M.B. De Waegenaere & Henk W. Norde. (2010) Excess Based Allocation of Risk Capital. SSRN Electronic Journal.
Crossref

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