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Capital Allocation Rules and the No-Undercut Property
Mathematics ( IF 2.3 ) Pub Date : 2021-01-16 , DOI: 10.3390/math9020175
Gabriele Canna , Francesca Centrone , Emanuela Rosazza Gianin

This paper makes the point on a well known property of capital allocation rules, namely the one called no-undercut. Its desirability in capital allocation stems from some stability game theoretical features that are related to the notion of core, both for finite and infinite games. We review these aspects, by relating them to the properties of the risk measures that are involved in capital allocation problems. We also discuss some problems and possible extensions that arise when we deal with non-coherent risk measures.

中文翻译:

资本分配规则和不剥夺财产

本文指出了资本分配规则的一种众所周知的属性,即所谓的无底切。它在资本分配中的合意性源于一些与博弈的核心概念相关的稳定性博弈的理论特征,无论是有限博弈还是无限博弈。我们通过将这些方面与涉及资本配置问题的风险度量的属性相关联来进行回顾。我们还将讨论在处理非连贯风险度量时出现的一些问题和可能的扩展。
更新日期:2021-01-18
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