τ-value for risk capital allocation problems
| Authors | |
|---|---|
| Publication date | 11-2020 |
| Journal | Operations Research Letters |
| Volume | Issue number | 48 | 6 |
| Pages (from-to) | 752-757 |
| Organisations |
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| Abstract | This paper introduces the τ-value for risk capital allocation. First, the existence of this value is shown. Second, the τ-value capital allocation rule is shown to satisfy six desirable properties. Finally, a characterization of this value for risk capital allocation problems is provided based on two additional properties. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/j.orl.2020.09.003 |
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