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Stochastic orderings for set-valued risk measures

Author

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  • Mastrogiacomo, Elisa
  • Tarsia, Marco

Abstract

This paper explores the portfolio aggregation problem within the framework of set-valued risk measures, with a specific emphasis on maximal correlation risk measures, as introduced in this work. We propose a novel stochastic ordering concept for random vectors and establish consistency properties for maximal correlation risk measures in this setting. Furthermore, we demonstrate convex-type consistency for a specific subclass of law-invariant convex set-valued risk measures, highlighting both their theoretical foundations and practical significance.

Suggested Citation

  • Mastrogiacomo, Elisa & Tarsia, Marco, 2026. "Stochastic orderings for set-valued risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:insuma:v:126:y:2026:i:c:s0167668725001271
    DOI: 10.1016/j.insmatheco.2025.103180
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    References listed on IDEAS

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