Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Yongsheng Song and Jia-An Yan

Insurance: Mathematics and Economics, 2009, vol. 45, issue 3, 459-465

Abstract: This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the physical probability is atomless then a comonotonic subadditive (resp. convex) risk measure respecting stop-loss order is in fact a law-invariant coherent (resp. convex) risk measure.

Keywords: Choquet; integral; (Concave); distortion; Risk; measure; Stochastic; orders; Coherent (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:3:p:459-465

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