On Approximating Law-Invariant Comonotonic Coherent Risk Measures

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.

Keywords: Coherent risk measures, optimal quantization, average value-at-risk, comonotonicity.