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On Approximating Law-Invariant Comonotonic Coherent Risk Measures

  • Yumiharu Nakano (a1)

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.

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On Approximating Law-Invariant Comonotonic Coherent Risk Measures

  • Yumiharu Nakano (a1)

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