Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures.

20 Pages Posted: 4 Apr 2017

See all articles by Francesca Centrone

Francesca Centrone

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi

Date Written: April 1, 2017

Abstract

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their properties and discuss their suitability in the quasiconvex context.

Keywords: Risk management, Capital allocation rules, Convex risk measures, Quasi-convex risk measures, Aumann-Shapley value, Gateaux differential, Greenberg-Pierskalla subdifferential.

JEL Classification: C71, D81, G11, G32

Suggested Citation

Centrone, Francesca and Rosazza Gianin, Emanuela, Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures. (April 1, 2017). Available at SSRN: https://ssrn.com/abstract=2944661 or http://dx.doi.org/10.2139/ssrn.2944661

Francesca Centrone (Contact Author)

Università del Piemonte Orientale - Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone 18
Novara, 28100
Italy

Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi ( email )

Milan
Italy

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