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Document Details : Title: On Approximating Law-Invariant Comonotonic Coherent Risk Measures Author(s): NAKANO, Yumiharu Journal: ASTIN Bulletin Volume: 42 Issue: 1 Date: 2012 Pages: 343-353 DOI: 10.2143/AST.42.1.2160746 Abstract : The optimal quantization theory is applied for approximating law-invariant comonotonic coherent risk measures. Simple Lp-norm estimates for the risk measures provide the rate of convergence of that approximation as the number of quantization points goes to infinity. |
