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


Sciences Po - Department of Economics

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

Accepted Paper Series





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
Sciences Po - Department of Economics ( email )
27 rue Saint-Guillaume
Paris Cedex 07, 75337
France
Marc Henry
affiliation not provided to SSRN
Feedback to SSRN


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References:  16
Citations:  6
Footnotes:  2

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