Comonotonic Measures of Multivariate Risks
Copyright policy )Comonotonic Measures of Multivariate Risks
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.
- University of Montreal Canada
- Department of Economics Switzerland
- Department of Economics Indonesia
- Sciences Po France
- University of British Columbia
330, Maximal Correlation, Economie financière, comonotonicity, 332, strongly coherent risk measures, 510, coherent risk measures, FOS: Economics and business, Coherent Risk Measures, 515, Risk theory, insurance, Economics - Theoretical Economics, G12, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Applications of statistics to economics, maximal correlation, Comonotonicity, Optimal Transportation, Analyse, C61, regular risk measures, Theoretical Economics (econ.TH), optimal transportation, strongly coherent risk measures.,regular risk measures,coherent risk measures,comonotonicity,maximal correlation,optimal transportation,strongly coherent risk measures, Regular Risk Measures, jel: jel:C61, jel: jel:G12
330, Maximal Correlation, Economie financière, comonotonicity, 332, strongly coherent risk measures, 510, coherent risk measures, FOS: Economics and business, Coherent Risk Measures, 515, Risk theory, insurance, Economics - Theoretical Economics, G12, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Applications of statistics to economics, maximal correlation, Comonotonicity, Optimal Transportation, Analyse, C61, regular risk measures, Theoretical Economics (econ.TH), optimal transportation, strongly coherent risk measures.,regular risk measures,coherent risk measures,comonotonicity,maximal correlation,optimal transportation,strongly coherent risk measures, Regular Risk Measures, jel: jel:C61, jel: jel:G12
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