Abstract

http://ssrn.com/abstract=1989280
 
 

References (16)



 
 

Citations (6)



 
 

Footnotes (2)



 


 



Comonotonic Measures of Multivariate Risks


Ivar Ekeland


University of British Columbia (UBC) - Faculty of Education; Université Paris Dauphine - CEREMADE

Alfred Galichon


NYU, Department of Economics and Courant Institute

Marc Henry


affiliation not provided to SSRN

January 2012

Mathematical Finance, Vol. 22, Issue 1, pp. 109-132, 2012

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 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.

Keywords: regular risk measures, coherent risk measures, comonotonicity, maximal correlation, optimal transportation, strongly coherent risk measures


Date posted: January 21, 2012  

Suggested Citation

Ekeland, Ivar and Galichon, Alfred and Henry, Marc, Comonotonic Measures of Multivariate Risks (January 2012). Mathematical Finance, Vol. 22, Issue 1, pp. 109-132, 2012. Available at SSRN: http://ssrn.com/abstract=1989280 or http://dx.doi.org/10.1111/j.1467-9965.2010.00453.x

Contact Information

Ivar Ekeland (Contact Author)
University of British Columbia (UBC) - Faculty of Education ( email )
Université Paris Dauphine - CEREMADE ( email )
Place du Marechal de Lattre de Tassigny
Paris Cedex 16, 75775
France

Alfred Galichon
NYU, Department of Economics and Courant Institute ( email )
269 Mercer Street, 7th Floor
New York, NY 10011
United States
Marc Henry
affiliation not provided to SSRN
Feedback to SSRN


Paper statistics
Abstract Views: 336
Downloads: 3
References:  16
Citations:  6
Footnotes:  2

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.204 seconds