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COMONOTONIC MEASURES OF MULTIVARIATE RISKS - MaRDI portal

COMONOTONIC MEASURES OF MULTIVARIATE RISKS (Q4906542)

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scientific article; zbMATH DE number 6139594
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English
COMONOTONIC MEASURES OF MULTIVARIATE RISKS
scientific article; zbMATH DE number 6139594

    Statements

    title
    COMONOTONIC MEASURES OF MULTIVARIATE RISKS (English)
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    author
    Ivar Ekeland
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    Alfred Galichon
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    Marc Henry
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    publication date
    28 February 2013
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    zbMATH Keywords
    regular risk measures
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    coherent risk measures
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    comonotonicity
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    maximal correlation
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    optimal transportation
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    strongly coherent risk measures
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    Identifiers

    zbMATH DE Number
    6139594
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    OpenAlex ID
    W3126983993
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    arXiv ID
    2102.04175
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