Risk measures with comonotonic subadditivity or convexity on product spaces  

作　　者：WEI Lin-xiao MA Yue HU Yi-jun 

机构地区：[1]College of Science, Wuhan University of Technology [2]School of Mathematics and Information Sciences, North China University of Water Resources and Electric Power [3]School of Mathematics and Statistics, Wuhan University

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2015年第4期407-417,共11页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China(11371284);the Natural Science Foundation of Henan Province(14B110037)

摘　　要：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.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.

关 键 词：Choquet integral comonotonic subadditivity risk measure comonotonic convex risk measure multi-period risk measure capital allocation product space. 

分 类 号：O211.67[理学—概率论与数理统计]