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On the Shapley value of liability games – Publication by Péter Csóka, Ferenc Illés and Tamás Solymosi

2022-06-03 10:54:19

The publication co-authored by Péter Csóka, Ferenc Illés and Tamás Solymosi was published in the European Journal of Operational Research.

Kapcsolódó hírek

Kapcsolódó események

Corvinus Épület

In a liability problem, the asset value of an insolvent firm must be distributed among the creditors and the firm itself, when the firm has some freedom in negotiating with the creditors. We model the negotiations using cooperative game theory and analyze the Shapley value to resolve such liability problems. We establish three main monotonicity properties of the Shapley value. First, creditors can only benefit from the increase in their claims or of the asset value. Second, the firm can only benefit from the increase of a claim but can end up with more or with less if the asset value increases, depending on the configuration of small and large liabilities. Third, creditors with larger claims benefit more from the increase of the asset value. Even though liability games are constant-sum games and we show that the Shapley value can be calculated directly from a liability problem, we prove that calculating the Shapley payoff to the firm is NP-hard. 

https://doi.org/10.1016/j.ejor.2021.10.012

Contacts

Dr. Csóka Péter peter.csoka@uni-corvinus.hu Rektori Szervezet / Pénzügy Intézet / Befektetések
Egyetemi tanár / Professor
E épület, 263, 263
Phone: +36 1 482 5288 • Ext: 5288
Illés Ferenc ferenc.illes@stud.uni-corvinus.hu Rektori Szervezet / Pénzügy Intézet / Befektetések
Egyetemi tanársegéd / Assistant Lecturer
E épület, 281
Phone: +36 1 482 5222 • Ext: 5222
Dr. Solymosi István Tamás tamas.solymosi@uni-corvinus.hu Rektori Szervezet / Operáció és Döntés Intézet / Operációkutatás és Aktuáriustudományok Tanszék
Egyetemi Tanár / Professor
C épület, 708
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GEN.:2024.05.18. - 04:00:18