Distortion Risk Measures: Coherence and Stochastic Dominance
نویسنده
چکیده
In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a strictly concave distortion function is a necessary and sufficient condition for strict consistency with second order stochastic dominance. The results are related to current risk measures used in practice, such as value-at-risk (VaR) and the conditional tail expectation (CTE), also known as tail-VaR and to Wang’s premium principles.
منابع مشابه
On Risk Measures in Stochastic Programs
The paper considers modeling of risk-averse preferences in (multi-stage) stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations for these measures that facilitate their incorporation into stochastic programs. It is demonstrated that the developed representations allow fo...
متن کاملHigher Moment Coherent Risk Measures
The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed stochastic programming problems. Using the developed representations, we introduce a new family of highe...
متن کاملمحاسبه ریسک با معیار تسلط تصادفی و مقایسه آن با سایر معیارهای متداول در بورس اوراق بهادار تهران
Nowadays stock market as a means to facilitate and direct micro investment for economic development is deemed as one of the most effective tools in the market economy system. Analyzing the risk and output of various companies' shares is among the most important preconditions of stock investment. In general, although conventional risk measures such as Beta and standard deviation are relatively e...
متن کاملInsurance Applications of Quantile-based Risk Measures
We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously fl...
متن کاملDISCUSSION PAPER PI-0603 After VAR: The Theory, Estimation and Insurance Applications of Quantile- Based Risk Measures
We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously fl...
متن کامل