A note on the induction of comonotonic additive risk measures from acceptance sets

DOI10.1016/J.SPL.2024.110044zbMATH Open1537.91362MaRDI QIDQ6540896FDOQ6540896

Authors Samuel Soares Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi, Eduardo Horta

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

risk measurescomonotonicityacceptance setsdeviation measurescomonotonic additive deviation measurescomonotonic additive risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Risk models (general) (91B05)

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Cites work

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• To split or not to split: Capital allocation with convex risk measures

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