A new multivariate dependence measure based on comonotonicity

部分共变性和扭曲风险度量

Partial comonotonicity and distortion riskmetrics

本文研究了依赖结构与加性扭曲风险度量子类之间的联系，提出了一种新的正依赖概念——部分共变性，扩展了共变性和单点集中性概念，并通过单点集中性刻画了期望缺口。

Weak comonotonicity

The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly restrictive and sometimes unrealistic. In the present paper, we put forward a notion of weak comonotonicity, which contains the classical notion of comonotonicity as a special case, and gives rise to necessary and sufficient conditions for a number of optimization problems, such as those arising in portfolio diversification, risk aggregation, and premium calcula…

依赖不确定性下的上同单调性与风险聚合

Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty

本文研究了依赖不确定性对尾部风险度量的影响，引入了正则依赖度量概念，并证明了任意小的正依赖会导致尾部风险与完全相关损失一致，最后探讨了其在信用风险中的应用。

测量多元最大尾部依赖性

Measuring multivariate maximal tail dependence

针对经典尾部依赖系数仅沿对角线评估的局限性，本文提出并研究了多元最大尾部协调测度（MTCM），将其从二元扩展到多元情形，量化了单位体积超矩形上的最大尾部质量，并证明了最优方向的存在性。

Impact of dependence on some multivariate risk indicators

The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We analyze also the impact of the dependence structure on the allocation using some copulas.

依赖不确定性下非负多元风险联合风险评估研究

On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty

本文针对依赖不确定性下的非负多元风险，提出标量与向量值扭曲联合风险度量，通过新公理体系进行刻画，并与现有多元风险度量进行比较，为联合风险评估提供理论基础。