On Approximating Law-Invariant Comonotonic Coherent Risk Measures

Yumiharu Nakano

ASTIN Bulletin, 2012, vol. 42, issue 1, 343-353

Abstract: The optimal quantization theory is applied for approximating law-invariant comonotonic coherent risk measures. Simple Lp -norm estimates for the risk measures provide the rate of convergence of that approximation as the number of quantization points goes to infinity.

Date: 2012
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