| Abstract [eng] |
In financial markets higher return is associated with higher risk, which is why quantifying the risk of financial portfolios is one of the key tasks of risk management. Usually risk is measured by modeling the uncertain payoff as a random variable to which a certain function is applied. This thesis studies comonotonic random variables and comonotonic coherent and convex risk measures. Some theory about coherent and convex risk measures, as well as comonotonic coherent and comonotonic convex risk measures is provided. The relationship between comonotonic coherent and comonotonic convex risk measures is studied and induced comonotonic coherent risk measures are proposed. A representation theorem for this induced comonotonic coherent risk measure is proved. An example of practical implementation is also provided. |
