The limitations of comonotonic additive risk measures: a literature review
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2022
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866909060466475008 |
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| author | Santos, Samuel Solgon Righi, Marcelo Brutti Horta, Eduardo de Oliveira |
| author_facet | Santos, Samuel Solgon Righi, Marcelo Brutti Horta, Eduardo de Oliveira |
| contents | Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2212_13864 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | The limitations of comonotonic additive risk measures: a literature review Santos, Samuel Solgon Righi, Marcelo Brutti Horta, Eduardo de Oliveira Risk Management Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant. |
| title | The limitations of comonotonic additive risk measures: a literature review |
| topic | Risk Management |
| url | https://arxiv.org/abs/2212.13864 |