On Bounds for Concave Distortion Risk Measures for Sums of Risks

Antonella Campana () and Paola Ferretti
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Antonella Campana: Department SEGeS, University of Molise

No 146, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In this paper we consider the problem of studying the gap between bounds of risk measures for sums of non-independent random variables. Owing to the choice of the context where to set the problem, namely that of distortion risk measures, we first deduce an explicit formula for the risk measure of a discrete risk by referring to its writing as sum of layers. Then, we examine the case of sums of discrete risks with identical distribution. Upper and lower bounds for risk measures of sums of risks are presented in the case of concave distortion functions. Finally, the attention is devoted to the analysis of the gap between risk measures of upper and lower bounds, with the aim of optimizing it.

Keywords: Distortion risk measures; discrete risks; concave risk measure; upper and lower bounds; gap between bounds (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2006-11
New Economics Papers: this item is included in nep-rmg and nep-upt
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Chapter: Bounds for Concave Distortion Risk Measures for Sums of Risks (2008)
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