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ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES

김주홍
한국수학교육학회|2009.02|이론수학과 교직수학 (Theoretical Mathematics and Pedagogical Mathematics)|제16권 제1호|pp. 121-131

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참고문헌

키워드

stochastic dominancequantileChoquet integralcoherent risk measuredistortion risk measurespectral risk measurelaw-invariantaverage value at riskcomonotonic.
주제분류수학

초록

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.

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.

참고문헌 (12)

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  5. Distortion risk measures and discrete risks, "A. Campana", ~
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  7. On a relationship between distorted and spectral risk measures, "H. Gzyl", ~
  8. S. Kusuoka, "On law invariant coherent risk measures", Adv. Math. Econ, 3, pp.83~95 (2001)
  9. H. Markowitz, "Portfolio selection", The Journal of Finance, 26, pp.1443~1471 (1952)
  10. R.T. Rockafellar, "Optimization of conditional value-at-risk", The Journal of risk, 24, pp.21~51 (2000)
  11. R.T. Rockafellar, "Conditional value-at-risk for general loss distributions", The Journal of Banking and Finance, 26, pp.1443~1471 (2002)
  12. S. Wang, "Premium calculation by transforming the layer premium density", Astin Bul- letin, 26, pp.71~92 (1996)

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