Csóka, Péter; Herings, Jean-Jacques; Kóczy, László Á. - 2006
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …