Tail conditional expectation for multivariate distributions: A game theory approach

This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (Xj, j=1,…,n) when there are n correlated business lines. The joint distributions of Xj and S (S=X1+X2+⋯+Xn) are needed in the existing methods, but they are not required in the proposed method.