Comonotonicity and Choquet Integrals

Cambridge University Press eBooks 2026 Book chapter

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Authors: Ilya Molchanov, Johanna F. Ziegel
DOI: 10.1017/9781009710916.010
Cited by: 0

Abstract

This chapter introduces comonotonic additivity for risk measures, which states that the risk of a sum of comonotone variables equals the sum of their individual risks. Such risk measures are Choquet integrals with respect to a non-additive measure.

Fields of Study & Subjects

Risk and Portfolio Optimization Probability and Risk Models Financial Risk and Volatility Modeling

Publication details

Journal / source
Cambridge University Press eBooks
Pages
129–148
Publication date
26 February 2026
Language
EN
Document type
Book chapter