Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
AbstractThis paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the physical probability is atomless then a comonotonic subadditive (resp. convex) risk measure respecting stop-loss order is in fact a law-invariant coherent (resp. convex) risk measure.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 45 (2009)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505554
Choquet integral (Concave) distortion Risk measure Stochastic orders Coherent;
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