Seven Proofs for the Subadditivity of Expected Shortfall

Seven Proofs for the Subadditivity of Expected Shortfall

Bibliographic Details
Main Authors: Embrechts Paul, Wang Ruodu
Format: Article
Language:English
Published: De Gruyter 2015-10-01
Series:Dependence Modeling
Subjects:
expected shortfall
tvar
subadditivity
comonotonicity
value-at-risk
risk management
education
primary: 28a25; secondary: 60e15, 91b06
Online Access:https://doi.org/10.1515/demo-2015-0009

Internet

https://doi.org/10.1515/demo-2015-0009

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