Elicitable distortion risk measures: A concise proof
| Data(s) |
2015
31/12/1969
|
|---|---|
| Resumo |
Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is either a Value-at-Risk or the mean. We give a concise alternative proof of this result, and discuss the conflict between comonotonic additivity and elicitability. |
| Formato |
application/pdf application/pdf |
| Identificador |
http://boris.unibe.ch/73247/1/1-s2.0-S0167715215000541-main.pdf http://boris.unibe.ch/73247/8/distortion-v3.pdf Wang, Ruodu; Ziegel, Johanna F. (2015). Elicitable distortion risk measures: A concise proof. Statistics and Probability Letters, 100, pp. 172-175. Elsevier 10.1016/j.spl.2015.02.004 <http://dx.doi.org/10.1016/j.spl.2015.02.004> doi:10.7892/boris.73247 info:doi:10.1016/j.spl.2015.02.004 urn:issn:1669-1676 |
| Idioma(s) |
eng |
| Publicador |
Elsevier |
| Relação |
http://boris.unibe.ch/73247/ |
| Direitos |
info:eu-repo/semantics/restrictedAccess info:eu-repo/semantics/embargoedAccess |
| Fonte |
Wang, Ruodu; Ziegel, Johanna F. (2015). Elicitable distortion risk measures: A concise proof. Statistics and Probability Letters, 100, pp. 172-175. Elsevier 10.1016/j.spl.2015.02.004 <http://dx.doi.org/10.1016/j.spl.2015.02.004> |
| Palavras-Chave | #510 Mathematics |
| Tipo |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion PeerReviewed |
