Seven proofs for the subadditivity of expected shortfall

DOI10.1515/demo-2015-0009zbMath1331.91203OpenAlexW2276376831MaRDI QIDQ906342

Ruodu Wang, Paul Embrechts

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

zbMATH Keywords

value-at-risksubadditivityeducationrisk managementcomonotonicityexpected shortfallTVaR

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Integration with respect to measures and other set functions (28A25)

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Uses Software

• QRM

Cites Work

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