Distortion Riskmetrics on General Spaces

forthcoming in ASTIN Bulletin

27 Pages Posted: 30 Dec 2019 Last revised: 26 May 2020

See all articles by Qiuqi Wang

Qiuqi Wang

University of Waterloo - Department of Statistics and Actuarial Science

Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Yunran Wei

Northern Illinois University; University of Waterloo - Department of Statistics and Actuarial Science

Date Written: December 28, 2019

Abstract

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

Wang, Qiuqi and Wang, Ruodu and Wei, Yunran, Distortion Riskmetrics on General Spaces (December 28, 2019). forthcoming in ASTIN Bulletin, Available at SSRN: https://ssrn.com/abstract=3510363 or http://dx.doi.org/10.2139/ssrn.3510363

Qiuqi Wang (Contact Author)

University of Waterloo - Department of Statistics and Actuarial Science ( email )

Waterloo, Ontario N2L 3G1
Canada

Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science ( email )

Waterloo, Ontario N2L 3G1
Canada

Yunran Wei

Northern Illinois University ( email )

1425 W. Lincoln Hwy
Dekalb, IL 60115-2828
United States

University of Waterloo - Department of Statistics and Actuarial Science ( email )

Waterloo, Ontario N2L 3G1
Canada

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