Distortion Riskmetrics on General Spaces
forthcoming in ASTIN Bulletin
27 Pages Posted: 30 Dec 2019 Last revised: 26 May 2020
Date Written: December 28, 2019
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.
Keywords: comonotonicity; Choquet integrals; convexity; convex order; continuity
JEL Classification: C6, D8, G00
Suggested Citation: Suggested Citation