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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

ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES

한국수학교육학회지시리즈B:순수및응용수학 / 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 (Department of Mathematics, Sungshin Women's University)
Kim, Ju-Hong. (2009). ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES. 한국수학교육학회지시리즈B:순수및응용수학, 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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한국수학교육학회지시리즈B:순수및응용수학

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