Risk Measures with Comonotonic Subadditivity or Convexity and Respecting Stochastic Orders

  • Date: 10/25/2007

Jia-an Yan (Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China )


University of British Columbia


Taking subadditivity as a main axiom Artzner et.al.(1997, 1999)
introduced the coherent risk measures. Song and Yan (2006) introduced
risk measures which are comonotonically subadditive or convex. Recently
we introduced risk measures which are not only comonotonically
subadditive or convex, but also respect the (first) stochastic
dominance or stop-loss order, and gived their representations in terms
of Choquet integrals w.r.t. distorted probabilities. This talk is based
on a joint work with Yongsheng Song

Other Information: 

MITACS Math Finance Seminar 2007