Comonotonic measures of multivariates 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 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.
|Date of creation:||06 Jul 2009|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00401828|
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References listed on IDEAS
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