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.
- Average Value-at-Risk
- Law invariant
- Risk measures
ASJC Scopus subject areas
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics