Seven proofs for the subadditivity of expected shortfall

DOI10.1515/demo-2015-0009zbMath1331.91203OpenAlexW2276376831MaRDI QIDQ906342

Ruodu Wang, Paul Embrechts

Publication date: 21 January 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0009

zbMATH Keywords

value-at-risksubadditivityeducationrisk managementcomonotonicityexpected shortfallTVaR

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Integration with respect to measures and other set functions (28A25)

Related Items (10)

An energy-based measure for long-run horizon risk quantification ⋮ Quantile-based risk sharing with heterogeneous beliefs ⋮ Inf-convolution and optimal allocations for mixed-VaRs ⋮ Deep quantile and deep composite triplet regression ⋮ An elementary proof of the dual representation of expected shortfall ⋮ Weak comonotonicity ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Quantile-Based Risk Sharing ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Measurability of functionals and of ideal point forecasts

Uses Software

• QRM

Cites Work

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