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Extreme-aggregation measures in the RDEU model

Ouxiang Chen and Taizhong Hu

Statistics & Probability Letters, 2019, vol. 148, issue C, 155-163

Abstract: In order to characterize the most superadditive behavior of a risk measure, the notion of extreme-aggregation risk measures was introduced in the literature. In this short note, explicit forms of the extreme-aggregation measures induced by rank-dependent expected utility (RDEU) functionals and by RDEU-based shortfall risk measures are derived. The main results generalize those known in the literature.

Keywords: Distortion risk measure; Shortfall risk measure; Coherent risk measure; Rank-dependent expected utility (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.01.023

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