On a relationship between distorted and spectral risk measures
AbstractWe study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions. Besides that we prove that distorted measures are absolutely continuous with respect to the original measure.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 916.
Date of creation: Nov 2006
Date of revision:
Coherent risk measure; distortion function; Spectral measures; Risk Aversion Function;
Other versions of this item:
- Henryk Gzyl & Silvia Mayoral, . "On a relationship between distorted and spectral risk measures," Faculty Working Papers 15/06, School of Economics and Business Administration, University of Navarra.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-01 (All new papers)
- NEP-RMG-2006-12-01 (Risk Management)
- NEP-UPT-2006-12-01 (Utility Models & Prospect Theory)
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