2 resultados para Zhujiang Kou
em BORIS: Bern Open Repository and Information System - Berna - Suiça
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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.