Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

By Yongsheng Song, Jiaan Yan. 2009

66 citations recorded by the source corpus.

Subfields: Finance, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/35c56e43fb3c4d35758dd10e0f4f9a9f0fae95fd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jun Cai
2. Ruodu Wang
3. Qihe Tang

In Management Science and Operations Research

1. Jun Cai
2. Haiyan Liu
3. Ruodu Wang
4. Ken Seng Tan
5. Yichun Chi
6. Qihe Tang
7. Chengguo Weng
8. Yi Zhang

Citations in the corpus

• Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “We point out that the property of comonotonic-convexity has been studied and characterized in Song and Yan (2009).”