Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

DOI10.1016/j.insmatheco.2009.09.011zbMath1231.91237OpenAlexW2084063999MaRDI QIDQ659171

Yongsheng Song, Jia'an Yan

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.011

zbMATH Keywords

stochastic ordersChoquet integralcoherentrisk measure(concave) distortion

Mathematics Subject Classification ID

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