Distortion Riskmetrics on General Spaces

Author ORCID Identifier

Yunran Wei:https://orcid.org/0000-0002-9616-9454

Publication Title

ASTIN Bulletin

ISSN

05150361

E-ISSN

43993

Document Type

Article

Abstract

The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, finiteness, convexity, and continuity results on general model spaces, extending various results in the existing literature on distortion risk measures and signed Choquet integrals. This paper offers a comprehensive toolkit of theoretical results on distortion riskmetrics which are ready for use in applications.

First Page

827

Last Page

851

Publication Date

9-1-2020

DOI

10.1017/asb.2020.14

Keywords

Choquet integrals, Comonotonicity, continuity, convex order, convexity

Department

Department of Statistics and Actuarial Science

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