Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals

Grigoriev Pavel G. and Leitner Johannes

Statistics & Risk Modeling, 2006, vol. 24, issue 1, 27-44

Abstract: The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.

Keywords: capacity; dilatation monotonicity; comonotonicity; coherent risk measure; risk-adjusting value functional; Choquet integral; law invariant risk measure; comonotonic additivity (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:24:y:2006:i:1:p:27-44:n:8

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DOI: 10.1524/stnd.2006.24.1.27

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