Multivariate coherent risk measures induced by multivariate convex risk measures |
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Authors: | Chen Yanhong Hu Yijun |
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Institution: | 1.College of Finance and Statistics, Hunan University, Changsha, 410082, Hunan, People’s Republic of China ;2.School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, Hubei, People’s Republic of China ; |
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Abstract: | In this paper, we study the close relationship between multivariate coherent and convex risk measures. Namely, starting from a multivariate convex risk measure, we propose a family of multivariate coherent risk measures induced by it. In return, the convex risk measure can be represented by its induced coherent risk measures. The representation result for the induced coherent risk measures is given in terms of the minimal penalty function of the convex risk measure. Finally, an example is also given. |
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