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European Journal of Operational Research, ISSN 0377-2217, 04/2020, Volume 282, Issue 1, pp. 277 - 287
•The Weighted Aumann–Shapley value is introduced as risk capital allocation rule.•It generalizes the Aumann–Shapley value via an asymptotic approach.•Its... 
Capital allocation | Risk measure | Non-differentiability | Risk management | Aumann–Shapley value | COST | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | SET | AXIOMS | Aumann-Shapley value
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 2009, Volume 44, Issue 2, pp. 268 - 277
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 01/2017, Volume 72, pp. 95 - 106
Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of... 
Capital allocation | Fuzzy core | Euler rule | Aumann–Shapley value | Risk measures | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | Aumann-Shapley value | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 04/2020, Volume 282, Issue 1, pp. 277 - 287
The paper proposes a new method to allocate risk capital to divisions or lines of business within a firm. Existing literature advocates an allocation rule... 
C71 - Cooperative Games | risk management | G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill | non-differentiability | Aumann-Shapley value | risk measure | capital allocation
Journal Article
Applied Energy, ISSN 0306-2619, 02/2018, Volume 212, pp. 223 - 232
•Alternative method for flexibility analyses using Shapley Value.•The method is demonstrated with a multinational offshore grid case study.•Demand for... 
Renewable integration | Energy policy | Shapley value | Power system flexibility | Transmission expansion planning | North Sea Offshore Grid | TRANSMISSION EXPANSION PROJECTS | REQUIREMENTS | ENERGY & FUELS | AUMANN-SHAPLEY APPROACH | WIND POWER | ALLOCATION | ELECTRICITY MARKETS | ENGINEERING, CHEMICAL | COST | INTEGRATION | NORTH | INVESTMENT
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 06/2018, Volume 267, Issue 2, pp. 667 - 675
•We discuss capital allocation rules for quite general risk measures.•Our capital allocation rules are inspired by the Aumann–Shapley principle.•Our approach... 
Capital allocation rules | Gateaux differential | Risk management | Aumann–Shapley value | Convex/quasi-convex risk measures | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | CONVEX | Aumann-Shapley value | REPRESENTATION | OPTIMIZATION
Journal Article
IEEE Access, ISSN 2169-3536, 2020, Volume 8, pp. 68668 - 68681
In order to ensure joint operation of wind-PV-hydro complementary generation system with cascade hydro-power owned by multiple stakeholders, an equitable and... 
Aumann-Shapley value | wind-PV-hydro complementary generation | Incremental benefit allocation | multiple stakeholders | cascade hydropower | STORAGE | PROFIT | COMPUTER SCIENCE, INFORMATION SYSTEMS | POWER | TELECOMMUNICATIONS | ENGINEERING, ELECTRICAL & ELECTRONIC | COST ALLOCATION | FARM | OPTIMIZATION | UNITS
Journal Article
Asia-Pacific Journal of Risk and Insurance, ISSN 2153-3792, 11/2009, Volume 4, Issue 1, p. 1
We compare two prominent approaches to capital allocation in insurance firms. The financial theory approach includes Merton and Perold (1993) and Myers and... 
G310; G200; C710; capital allocation; Shapley value; Aumann-Shapley value; default value; cooperative game theory
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 2003, Volume 33, Issue 2, pp. 239 - 254
Journal Article
Positivity, ISSN 1385-1292, 11/2008, Volume 12, Issue 4, pp. 613 - 629
Let L be a D-lattice, i.e. a lattice ordered effect algebra, and let BV be the Banach space of all real-valued functions of bounded variation on L (vanishing... 
28A12 | Mathematics | Aumann–Shapley value | D-lattice | 91A12 | effect algebra | Operator Theory | Fourier Analysis | Potential Theory | Calculus of Variations and Optimal Control; Optimization | modular measure | Econometrics | 06C15 | Aumann-Shapley value | Modular measure | Effect algebra | MATHEMATICS | EFFECT ALGEBRAS | THEOREM
Journal Article
Mathematics of Operations Research, ISSN 0364-765X, 08/2004, Volume 29, Issue 3, pp. 602 - 623
Journal Article
2012 Asia-Pacific Power and Energy Engineering Conference, ISSN 2157-4839, 03/2012, pp. 1 - 4
This paper proposes a method of allocation for congestion cost in the bilateral transaction framework based on Aumann-Shapley value. The method uses the A-S... 
Sensitivity | Generators | Resource management | Games | Pricing | Load flow | Aumann-Shapley value | power markets | sensitivity | fast allocation
Conference Proceeding
International Journal of Game Theory, ISSN 0020-7276, 9/2018, Volume 47, Issue 3, pp. 737 - 765
Journal Article
Journal of Uncertain Systems, ISSN 1752-8909, 2012, Volume 6, Issue 4, pp. 270 - 277
Journal Article
Mathematical Social Sciences, ISSN 0165-4896, 2000, Volume 40, Issue 3, pp. 341 - 354
A multichoice game is a generalization of a cooperative TU game in which each player has several activity levels. We study the solution for these games... 
Multichoice games | Aumann-Shapley value | Cost allocation | Shapley value | Balanced contributions | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | balanced contributions | COOPERATIVE GAMES | multichoice games | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | cost allocation | POTENTIALS
Journal Article
Zhongguo Dianji Gongcheng Xuebao/Proceedings of the Chinese Society of Electrical Engineering, ISSN 0258-8013, 2002, Volume 22, Issue 11, pp. 59 - 63
Journal Article
Applied Energy, ISSN 0306-2619, 06/2017, Volume 195, pp. 382 - 401
•Novel methodology to calculate the benefits of users from expansion projects.•The methodology proposed is based on the Aumann-Shapley concept.•Consistent with... 
Net market benefit | Network expansion planning | Aumann-Shapley | Cooperative game theory | Transmission | GRIDS | ENERGY & FUELS | ELECTRICITY MARKETS | ENGINEERING, CHEMICAL | IMPACT | INTEGRATION | COST ALLOCATION | GENERATION | USERS | BENEFITS | Case studies | Game theory
Journal Article
Annual Review of Financial Economics, ISSN 1941-1367, 11/2013, Volume 5, Issue 1, pp. 201 - 223
Journal Article
Zhongguo Dianji Gongcheng Xuebao/Proceedings of the Chinese Society of Electrical Engineering, ISSN 0258-8013, 07/2009, Volume 29, Issue 19, pp. 1 - 7
Journal Article
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