Risk measures with comonotonic subadditivity or convexity on product spaces

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Abstract

In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan (2006). Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.

Keywords

Choquet integral comonotonic subadditivity risk measure comonotonic convex risk measure multi-period risk measure capital allocation product space 

MR Subject Classification

91B30 91B32 91B70 
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Copyright information

© Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  1. 1.College of ScienceWuhan University of TechnologyWuhanChina

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