Distortion Riskmetrics on General Spaces
Author ORCID Identifier
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.
Choquet integrals, Comonotonicity, continuity, convex order, convexity
Wang, Qiuqi; Wang, Ruodu; and Wei, Yunran, "Distortion Riskmetrics on General Spaces" (2020). NIU Bibliography. 487.
Department of Statistics and Actuarial Science