Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

DOI10.1016/j.insmatheco.2009.09.011zbMath1231.91237MaRDI QIDQ659171

Jia'an Yan, Yongsheng Song

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.011

zbMATH Keywords

stochastic orders; Choquet integral; coherent; risk measure; (concave) distortion

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60E05: Probability distributions: general theory

46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics

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