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Pré-Publication, Document De Travail Année : 2009

Comonotonic measures of multivariates risks

Résumé

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.
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Dates et versions

hal-00401828 , version 1 (06-07-2009)

Identifiants

  • HAL Id : hal-00401828 , version 1

Citer

Alfred Galichon, Ivar Ekeland, Marc Henry. Comonotonic measures of multivariates risks. 2009. ⟨hal-00401828⟩

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