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On Approximating Law-Invariant Comonotonic Coherent Risk Measures
Published online by Cambridge University Press: 09 August 2013
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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- Copyright © International Actuarial Association 2012