Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

doi:10.1016/j.insmatheco.2009.09.011

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	Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
	Song, Yongsheng; Yan, Jia-An
	2009-12-01
发表期刊	INSURANCE MATHEMATICS & ECONOMICS
ISSN	0167-6687
卷号	45 期号:3 页码:459-465
摘要	This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the physical probability is atomless then a comonotonic subadditive (resp. convex) risk measure respecting stop-loss order is in fact a law-invariant coherent (resp. convex) risk measure. (C) 2009 Elsevier B.V. All rights reserved.
关键词	Choquet integral (Concave) distortion Risk measure Stochastic orders Coherent
DOI	10.1016/j.insmatheco.2009.09.011
语种	英语
资助项目	Bielefeld University ; Power Corporation/Great West Life/London Life/Canada Life Distinguished Visitor Program ; National Natural Science Foundation of China[10571167] ; National Basic Research Program of China[2007CB814902] ; Science Fund for Creative Research Groups[10721101]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000272604000015
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8241
专题	应用数学研究所
通讯作者	Yan, Jia-An
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Ctr Financial Engn & Risk Management, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Song, Yongsheng,Yan, Jia-An. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders[J]. INSURANCE MATHEMATICS & ECONOMICS,2009,45(3):459-465.
APA	Song, Yongsheng,&Yan, Jia-An.(2009).Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.INSURANCE MATHEMATICS & ECONOMICS,45(3),459-465.
MLA	Song, Yongsheng,et al."Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders".INSURANCE MATHEMATICS & ECONOMICS 45.3(2009):459-465.