Equivalent Distortion Risk Measures on Moment Spaces

13 Pages Posted: 26 Nov 2018

See all articles by Dries Cornilly

Dries Cornilly

Vrije Universiteit Brussel (VUB); KU Leuven

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Date Written: October 11, 2018

Abstract

We show that maximizing distortion risk measures over the set of distribution functions with given mean is equivalent to maximizing their concave counterpart. In the case of Value-at-Risk and Tail Value-at-Risk the equivalence also holds when adding information on higher moments.

Keywords: Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty

Suggested Citation

Cornilly, Dries and Vanduffel, Steven, Equivalent Distortion Risk Measures on Moment Spaces (October 11, 2018). Available at SSRN: https://ssrn.com/abstract=3175936 or http://dx.doi.org/10.2139/ssrn.3175936

Dries Cornilly

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brussels 1050
Belgium

KU Leuven

Celestijnenlaan 200B
Leuven, Vlaams-Brabant 3001
Belgium

Steven Vanduffel (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

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