Comonotonic measures of multivariate risks

Ivar Ekeland, Alfred Galichon and Marc Henry

Papers from arXiv.org

Abstract: 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 invariance, subadditivity and comonotonicity axioms by an equivalent property we call strong coherence and that we argue has more natural economic interpretation. Finally, we reformulate the computation of regular and coherent risk measures as an optimal transportation problem, for which we provide an algorithm and implementation.

Date: 2021-02
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Published in Mathematical Finance 22-1 (2012) pp.109-132

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http://arxiv.org/pdf/2102.04175 Latest version (application/pdf)

Related works:
Working Paper: Comonotonic measures of multivariate risks (2012)
Working Paper: Comonotonic measures of multivariate risks (2012)
Working Paper: Comonotonic measures of multivariates risks (2009)
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