Game theory and applications in finance

G. van Gulick

Research output: ThesisDoctoral ThesisScientific

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Abstract

In finance, situations exist that give rise to allocation problems. Individuals combining their capital typically have more investment opportunities, and thus higher revenues. The proceeds of their investments have to be divided among those individuals. Also, banks and insurance companies face several allocation problems, which are especially related to risk capital since there is a potential to hedge risk. The first problem arises when the total risk capital withheld by a firm needs to be divided over several business divisions within the firm. The second problem deals with a business sector, where it is determined how companies compensate customers of bankrupted competitors for their losses. The aforementioned problems are not only studied by construction cooperative games, but by applying the underlying rationale to the specific problems as well.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • De Waegenaere, Anja, Promotor
  • Norde, Henk, Promotor
Award date25 Jun 2010
Place of PublicationTilburg
Publisher
Print ISBNs9789056682552
Publication statusPublished - 2010

Fingerprint

Finance
Game theory
Risk capital
Allocation problem
Investment opportunities
Hedge
Rationale
Competitors
Business sector
Revenue
Total risk
Cooperative game
Insurance companies

Cite this

van Gulick, G. (2010). Game theory and applications in finance. Tilburg: CentER, Center for Economic Research.
van Gulick, G.. / Game theory and applications in finance. Tilburg : CentER, Center for Economic Research, 2010. 269 p.
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van Gulick, G 2010, 'Game theory and applications in finance', Doctor of Philosophy, Tilburg University, Tilburg.

Game theory and applications in finance. / van Gulick, G.

Tilburg : CentER, Center for Economic Research, 2010. 269 p.

Research output: ThesisDoctoral ThesisScientific

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AU - van Gulick, G.

PY - 2010

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N2 - In finance, situations exist that give rise to allocation problems. Individuals combining their capital typically have more investment opportunities, and thus higher revenues. The proceeds of their investments have to be divided among those individuals. Also, banks and insurance companies face several allocation problems, which are especially related to risk capital since there is a potential to hedge risk. The first problem arises when the total risk capital withheld by a firm needs to be divided over several business divisions within the firm. The second problem deals with a business sector, where it is determined how companies compensate customers of bankrupted competitors for their losses. The aforementioned problems are not only studied by construction cooperative games, but by applying the underlying rationale to the specific problems as well.

AB - In finance, situations exist that give rise to allocation problems. Individuals combining their capital typically have more investment opportunities, and thus higher revenues. The proceeds of their investments have to be divided among those individuals. Also, banks and insurance companies face several allocation problems, which are especially related to risk capital since there is a potential to hedge risk. The first problem arises when the total risk capital withheld by a firm needs to be divided over several business divisions within the firm. The second problem deals with a business sector, where it is determined how companies compensate customers of bankrupted competitors for their losses. The aforementioned problems are not only studied by construction cooperative games, but by applying the underlying rationale to the specific problems as well.

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T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

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ER -

van Gulick G. Game theory and applications in finance. Tilburg: CentER, Center for Economic Research, 2010. 269 p. (CentER Dissertation Series).