Bounds for nested law invariant coherent risk measures

Linwei Xin; Alexander Shapiro

doi:10.1016/j.orl.2012.09.002

Bounds for nested law invariant coherent risk measures

Linwei Xin, Alexander Shapiro

Industrial and Enterprise Systems Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures.

Original language	English (US)
Pages (from-to)	431-435
Number of pages	5
Journal	Operations Research Letters
Volume	40
Issue number	6
DOIs	https://doi.org/10.1016/j.orl.2012.09.002
State	Published - Nov 2012

Keywords

Average Value-at-Risk
Coherent
Comonotonic
Law invariant
Risk measures

ASJC Scopus subject areas

Software
Management Science and Operations Research
Industrial and Manufacturing Engineering
Applied Mathematics

Online availability

10.1016/j.orl.2012.09.002

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title = "Bounds for nested law invariant coherent risk measures",

abstract = "With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures.",

keywords = "Average Value-at-Risk, Coherent, Comonotonic, Law invariant, Risk measures",

author = "Linwei Xin and Alexander Shapiro",

note = "Funding Information: Research of the second author was partly supported by the NSF award DMS-0914785 and ONR award N000140811104 . ",

year = "2012",

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AU - Xin, Linwei

AU - Shapiro, Alexander

N1 - Funding Information: Research of the second author was partly supported by the NSF award DMS-0914785 and ONR award N000140811104 .

PY - 2012/11

Y1 - 2012/11

N2 - With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures.

AB - With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures.

KW - Average Value-at-Risk

KW - Coherent

KW - Comonotonic

KW - Law invariant

KW - Risk measures

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Bounds for nested law invariant coherent risk measures

Abstract

Keywords

ASJC Scopus subject areas

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