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Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals

Author

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  • Grigoriev Pavel G.
  • Leitner Johannes

Abstract

The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.

Suggested Citation

  • Grigoriev Pavel G. & Leitner Johannes, 2006. "Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 27-44, July.
    • Handle: RePEc:bpj:strimo:v:24:y:2006:i:1:p:27-44:n:8
    DOI: 10.1524/stnd.2006.24.1.27
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