Risk measures with comonotonic subadditivity or convexity on product spaces
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Publication:530738
DOI10.1007/S11766-015-3294-7zbMATH Open1349.91159OpenAlexW2288833816MaRDI QIDQ530738FDOQ530738
Authors: Linxiao Wei, Yue Ma, Yijun Hu 
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
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Cites Work
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- Stochastic finance. An introduction in discrete time
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Cited In (13)
- Risk Measures and Comonotonicity: A Review
- Comonotonic measures of multivariate risks
- Multivariate convex risk statistics with scenario analysis
- A comonotonic image of independence for additive risk measures
- Subdifferential representations of risk measures
- Capital requirements, risk measures and comonotonicity
- Which eligible assets are compatible with comonotonic capital requirements?
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
- Characterization of acceptance sets for co-monotone risk measures
- On the generalized risk measures
- A note on the induction of comonotonic additive risk measures from acceptance sets
- A note on convex risk statistic
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