arXiv Open Access 2022

The limitations of comonotonic additive risk measures: a literature review

Samuel Solgon Santos Marcelo Brutti Righi Eduardo de Oliveira Horta

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Abstrak

Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant.

Topik & Kata Kunci

q-fin.RM

Penulis (3)

Samuel Solgon Santos

Marcelo Brutti Righi

Eduardo de Oliveira Horta

Format Sitasi

APA MLA BibTeX

Santos, S.S., Righi, M.B., Horta, E.d.O. (2022). The limitations of comonotonic additive risk measures: a literature review. https://arxiv.org/abs/2212.13864

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Informasi Jurnal

Tahun Terbit: 2022
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓