Comonotonic measures of multivariate risks (Q4906542)
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scientific article; zbMATH DE number 6139594
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Comonotonic measures of multivariate risks |
scientific article; zbMATH DE number 6139594 |
Statements
COMONOTONIC MEASURES OF MULTIVARIATE RISKS (English)
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28 February 2013
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regular risk measures
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coherent risk measures
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comonotonicity
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maximal correlation
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optimal transportation
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strongly coherent risk measures
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0.8409244418144226
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0.8112097382545471
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0.8094168901443481
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0.8073004484176636
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0.8057299852371216
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