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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorEkeland, Ivar*
hal.structure.identifier
dc.contributor.authorGalichon, Alfred*
hal.structure.identifierDépartment de sciences économiques
dc.contributor.authorHenry, Marc*
dc.date.accessioned2018-02-20T09:46:29Z
dc.date.available2018-02-20T09:46:29Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17427
dc.language.isoenen
dc.subjectstrongly coherent risk measuresen
dc.subjectoptimal transportationen
dc.subjectmaximal correlationen
dc.subjectcomonotonicityen
dc.subjectcoherent risk measuresen
dc.subjectregular risk measuresen
dc.subject.ddc515en
dc.titleComonotonic measures of multivariate risksen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol22en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2012-01
dc.relation.isversionofjnlpages109–132en
dc.relation.isversionofdoi10.1111/j.1467-9965.2010.00453.xen
dc.relation.isversionofjnlpublisherWIleyen
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
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