Tail conditional expectation for multivariate distributions: a game theory approach

This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (Xj , j = 1, . . . ,n) when there are n correlated business lines. The joint distributions of Xj and S (S = X1 + X2 + · · · + Xn) are needed in the existing methods, but they are not required in the proposed method.