English, Article, Journal or magazine article edition: Comonotonic measures of multivariates risks Alfred Galichon; Ivar Ekeland; Marc Henry

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Comonotonic measures of multivariates risks
Author
  • Alfred Galichon
  • Ivar Ekeland
  • Marc Henry
Physical Description
  • preprint
Notes
  • We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose to replace the current law invari- ance, subadditivity and comonotonicity axioms by an equivalent property we call strong coherence and that we argue has more natural economic interpretation. Finally, we refor- mulate the computation of regular and coherent risk measures as an optimal transportation problem, for which we provide an algorithm and implementation.
  • regular risk measures, coherent risk measures, comonotonicity, maximal correlation, optimal transportation, strongly coherent risk measures.
  • RePEc:hal:wpaper:hal-00401828_v1
Language
  • English
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