Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures.
20 Pages Posted: 4 Apr 2017
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
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