Game theory and applications in finance

G. van Gulick

Research output: ThesisDoctoral Thesis

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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

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    van Gulick, G. (2010). Game theory and applications in finance. CentER, Center for Economic Research.