Comonotonic measures of multivariate risks
We propose amultivariate extension of awell-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 of creation:||2012|
|Publication status:||Published in Mathematical Finance, Wiley, 2012, 22 (1), pp.109-132|
|Note:||View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-01053550|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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