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ISSN : 1226-0657

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Vol.16 No.1

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ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2009, v.16 no.1, pp.121-131
Kim, Ju-Hong
Kim,, J. (2009). ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 16(1), 121-131.

Abstract

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

keywords
coherent risk measure, distortion risk measure, spectral risk measure, Choquet integral, law-invariant, quantile, average value at risk, stochastic dominance, comonotonic

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Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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