A note on the induction of comonotonic additive risk measures from acceptance sets
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets and their complements are stable under convex combinations of comonotonic random variables. A generalization of this result applies to risk measures that are additive for random variables with a priori specified dependence structures, e.g., perfectly correlated, uncorrelated, or independent random variables.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
The limitations of comonotonic additive risk measures: a literature review
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown …
Risk sharing, measuring variability, and distortion riskmetrics
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called d…
Portfolio OptimizationScenario-based Risk Evaluation
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of ris…
ManagementComonotonic measures of multivariate risks
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to r…
Which eligible assets are compatible with comonotonic capital requirements?
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be charact…