Comonotonic measures of multivariates risks

Alfred Galichon, Ivar Ekeland and Marc Henry
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Ivar Ekeland: Canada Research Chair in Mathematical Economics - UBC - University of British Columbia [Canada]

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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 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.

Keywords: strongly coherent risk measures.; regular risk measures; coherent risk measures; comonotonicity; maximal correlation; optimal transportation; strongly coherent risk measures (search for similar items in EconPapers)
Date: 2009-07-06
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Comonotonic measures of multivariate risks (2021)
Working Paper: Comonotonic measures of multivariate risks (2012)
Working Paper: Comonotonic measures of multivariate risks (2012)
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