Corpus ID: 54782124

Comonotonic risk measures in a world without risk-free assets

@article{KochMedina2016ComonotonicRM,
  title={Comonotonic risk measures in a world without risk-free assets},
  author={Pablo Koch-Medina and Cosimo Munari and Gregor Svindland},
  journal={arXiv: Risk Management},
  year={2016}
}
We study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. The incompatibility with risky eligible assets is systematic whenever the acceptability criterion is based on Value at Risk… Expand
1 Citations
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk
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