Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

DOI10.1016/j.insmatheco.2017.05.004zbMath1394.91197OpenAlexW2620046803MaRDI QIDQ2364013

Ying Wang, Tiantian Mao, Jun Cai

Publication date: 17 July 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.05.004

zbMATH Keywords

Choquet integralsubadditivitycapital allocationcoherent risk measuretail distortion risk measuregeneralized GlueVaRmultivariate tail risk measuretail subadditivity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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