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DISTORTION RISKMETRICS ON GENERAL SPACES

Published online by Cambridge University Press:  11 June 2020

Qiuqi Wang Open the ORCID record for Qiuqi Wang [Opens in a new window] ,
Ruodu Wang  and
Yunran Wei
Qiuqi Wang*
Affiliation:
Department of Statistics and Actuarial Science University of Waterloo Waterloo, ON N2L3G1, Canada
Ruodu Wang
Affiliation:
Department of Statistics and Actuarial Science University of Waterloo Waterloo, ON N2L3G1, Canada E-mail: wang@uwaterloo.ca
Yunran Wei
Affiliation:
Department of Statistics and Actuarial Science Northern Illinois University DeKalb, IL 60115, United States E-mail: ywei1@niu.edu
*
E-mail: q428wang@uwaterloo.ca
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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

ComonotonicityChoquet integralsconvexityconvex ordercontinuityC6D8G00
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 50 , Issue 3 , September 2020 , pp. 827 - 851
Copyright
© 2020 by Astin Bulletin. All rights reserved

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