Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5072635 | Games and Economic Behavior | 2009 | 11 Pages |
Abstract
We show that the class of risk allocation and totally balanced games coincide, hence a stable allocation of risk is always possible. When the aggregate portfolio is riskless, the class of risk allocation games coincides with the class of exact games. As in exact games any subcoalition may be subject to marginalization even in core allocations, our result further emphasizes the responsibility involved in allocating risk.
Keywords
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Economics and Econometrics
Authors
Péter Csóka, P. Jean-Jacques Herings, László Á. Kóczy,