Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation

Sarah Kaakai (), Anis Matoussi () and Achraf Tamtalini ()
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Sarah Kaakai: LMM - Laboratoire Manceau de Mathématiques - UM - Le Mans Université
Anis Matoussi: LMM - Laboratoire Manceau de Mathématiques - UM - Le Mans Université
Achraf Tamtalini: LMM - Laboratoire Manceau de Mathématiques - UM - Le Mans Université

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Abstract: We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as convexity, monotonocity and cash invariance. We also address numerical aspects of their computations using stochastic algorithms instead of using Monte Carlo or Fourier methods that do not provide any error of the estimation.

Keywords: Multivariate risk measures; Optimized certainty equivalent; Numerical methods; stochastic algorithms; risk allocations (search for similar items in EconPapers)
Date: 2022-11-25
New Economics Papers: this item is included in nep-rmg
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