Distortion Risk Measures : Coherence and Stochastic Dominance
@inproceedings{Hardy2002DistortionRM, title={Distortion Risk Measures : Coherence and Stochastic Dominance}, author={M. Hardy}, year={2002} }
In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a strictly concave distortion function is a necessary and sufficient condition for strict consistency with second order stochastic dominance. The results are related to current risk measures used in practice, such as value-at-risk (VaR) and the conditional tail expectation (CTE), also known as tail-VaR and to Wang’s premium principles.
50 Citations
On the Representability of Coherent Risk Measures as Choquet Integrals
- Mathematics
- 2010
- 2
- Highly Influenced
- PDF
New class of distortion risk measures and their tail asymptotics with emphasis on VaR
- Economics, Mathematics
- 2015
- 9
- PDF
Rates of almost sure convergence of plug-in estimates for distortion risk measures
- Mathematics
- 2011
- 16
- PDF
References
SHOWING 1-10 OF 10 REFERENCES
Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Economics
- 1995
- 312
Axiomatic characterisation of insurance prices
- Insurance : Mathematics and Economics
- 1997