CentER

Gerwald van Gulick

Date of Ph.D. defense:	25 June 2010
Title of thesis:	Game Theory and Applications in Finance
ISBN:	978 90 5668 255 2
Promotors:	Prof.dr. A.M.B. de Waegenaere, Prof.dr. H.W. Norde

Abstract:
Cooperation between individuals is most often realised when there is are benefits by undertaking joint action. If these benefits are transferable between individuals - think of money - then this gives rise to an allocation problem, where these benefits should be divided among these individuals. The aim of cooperative game theory is to solve these allocation problems. Contributions in this thesis to game theoretic literature involve fuzzy games and allocation schemes.

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. Full text