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)

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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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