2 citations · 3 across the 7 of their papers we have counts for
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q-fin.MF2023
A note on the induction of comonotonic additive risk measures from acceptance sets
Samuel Solgon Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi +1
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets in…
math.PR2023★ 1 cited
Product Disintegrations: Some Examples
Luísa Borsato, Eduardo Horta, Rafael Rigão Souza
We provide a collection of examples involving the concept of a product disintegration, which generalizes exchangeability.