Seven proofs for the subadditivity of expected shortfall
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Publication:906342
DOI10.1515/DEMO-2015-0009zbMATH Open1331.91203OpenAlexW2276376831MaRDI QIDQ906342FDOQ906342
Authors: Paul Embrechts, Ruodu Wang 
Publication date: 21 January 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2015-0009
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Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Integration with respect to measures and other set functions (28A25)
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Cited In (14)
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Quantile-based risk sharing with heterogeneous beliefs
- An elementary proof of the dual representation of expected shortfall
- Inf-convolution and optimal allocations for mixed-VaRs
- An energy-based measure for long-run horizon risk quantification
- Weak comonotonicity
- A Reverse ES (CVaR) Optimization Formula
- Continuous-time limits of multi-period cost-of-capital margins
- Is accumulation risk in cyber methodically underestimated?
- Approximation algorithm of maximizing non-submodular functions under non-submodular constraint
- Deep quantile and deep composite triplet regression
- A new characterization of second-order stochastic dominance
- Measurability of functionals and of ideal point forecasts
- Quantile-based risk sharing
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