Distortion Risk Measures : Coherence and Stochastic Dominance

@inproceedings{Hardy2002DistortionRM,
  title={Distortion Risk Measures : Coherence and Stochastic Dominance},
  author={Mary R. Hardy},
  year={2002}
}

• Mary R. Hardy
• Published 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… CONTINUE READING

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