Risk measures with comonotonic subadditivity or convexity on product spaces

DOI10.1007/S11766-015-3294-7MaRDI QIDQ530738zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Choquet integralcapital allocationcomonotonic convex risk measurecomonotonic subadditivity risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10) Fuzzy measure theory (28E10)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• Bounds for functions of multivariate risks
• Coherent and convex risk measures for portfolios with applications
• Coherent measures of risk
• Consistent risk measures for portfolio vectors
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Multidimensional Coherent and Convex Risk Measures
• Multivariate risks and depth-trimmed regions
• Non-additive measure and integral
• On convex principles of premium calculation
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Stochastic finance. An introduction in discrete time
• The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
• Vector risk functions
• Vector-valued coherent risk measures

Cited in

(13)

• A note on convex risk statistic
• 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

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