Risk measures with comonotonic subadditivity or convexity on product spaces

DOI10.1007/S11766-015-3294-7zbMath1349.91159OpenAlexW2288833816MaRDI QIDQ530738

Linxiao Wei, Yue Ma, Hu, Yijun

Publication date: 10 August 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-015-3294-7

zbMATH Keywords

Choquet integralcapital allocationcomonotonic convex risk measurecomonotonic subadditivity risk measure

Mathematics Subject Classification ID

Fuzzy measure theory (28E10) Portfolio theory (91G10)

Related Items (1)

Multivariate convex risk statistics with scenario analysis

Cites Work

• Unnamed Item
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
• Multivariate risks and depth-trimmed regions
• On convex principles of premium calculation
• Non-additive measure and integral
• Convex measures of risk and trading constraints
• Vector risk functions
• Vector-valued coherent risk measures
• Coherent and convex risk measures for portfolios with applications
• Bounds for functions of multivariate risks
• Consistent risk measures for portfolio vectors
• Coherent Measures of Risk
• Duality for Set-Valued Measures of Risk
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Multidimensional Coherent and Convex Risk Measures
• Stochastic finance. An introduction in discrete time

This page was built for publication: Risk measures with comonotonic subadditivity or convexity on product spaces