A note on the induction of comonotonic additive risk measures from acceptance sets

Samuel S. Santos, Marlon R. Moresco, Marcelo B. Righi and Eduardo Horta

Statistics & Probability Letters, 2024, vol. 208, issue C

Abstract: We demonstrate that an acceptance set generates a comonotonic additive risk measure if and only if the acceptance set and its complement are closed for convex combinations of comonotonic random variables. Furthermore, this equivalence extends to deviation measures.

Keywords: Acceptance sets; Comonotonicity; Risk measures; Deviation measures; Comonotonic additive risk measures; Comonotonic additive deviation measures (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110044

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