How Superadditive Can a Risk Measure Be?

DOI10.1137/140981046zbMath1338.91080OpenAlexW3121441896MaRDI QIDQ3195106

Valeria Bignozzi, Ruodu Wang, Andreas Tsanakas

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12693/1/WangBignozziTsanakas.pdf

zbMATH Keywords

diversificationdependence uncertaintyrisk aggregationexpectilesdistortion risk measuresshortfall risk measures

Mathematics Subject Classification ID

Related Items (14)

Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Equivalent distortion risk measures on moment spaces ⋮ Extreme-aggregation measures in the RDEU model ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ A Theory for Measures of Tail Risk ⋮ Solvency II, or how to sweep the downside risk under the carpet ⋮ Quantile-Based Risk Sharing ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Regulatory arbitrage of risk measures ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ On aggregation sets and lower-convex sets ⋮ Modelling parameter uncertainty for risk capital calculation

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