On a family of coherent measures of variability

Taizhong Hu and Ouxiang Chen

Insurance: Mathematics and Economics, 2020, vol. 95, issue C, 173-182

Abstract: Risk measures are important and widely used tools in quantitative risk management of insurance companies and financial institutions. In this paper, we will introduce a family of coherent variability measures with comonotonic additivity, which is based on Lr-metric between a probability distribution and its distortion. One of its special cases is the cumulative residual entropy of a distribution. Further properties and potential applications of these coherent variability measures are presented. More attention is paid on composing a new coherent risk measure from expected shortfall and tail cumulative residual entropy to capture tail risk.

Keywords: Risk measure; Variability measure; Cumulative residual entropy; CRE-Shortfall; Distortion (search for similar items in EconPapers)
JEL-codes: C6 D81 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182

DOI: 10.1016/j.insmatheco.2020.10.005

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