Elicitable distortion risk measures: A concise proof

Ruodu Wang and Johanna F. Ziegel

Statistics & Probability Letters, 2015, vol. 100, issue C, 172-175

Abstract: Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is either a Value-at-Risk or the mean. We give a concise alternative proof of this result, and discuss the conflict between comonotonic additivity and elicitability.

Keywords: Distortion risk measures; Elicitability; Value-at-Risk (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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DOI: 10.1016/j.spl.2015.02.004

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