Risk measures with comonotonic subadditivity or convexity on product spaces (Q530738)
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scientific article; zbMATH DE number 6611108
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk measures with comonotonic subadditivity or convexity on product spaces |
scientific article; zbMATH DE number 6611108 |
Statements
Risk measures with comonotonic subadditivity or convexity on product spaces (English)
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10 August 2016
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Choquet integral
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comonotonic subadditivity risk measure
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capital allocation
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comonotonic convex risk measure
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