Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances

Fabio Bellini and Camilla Caperdoni

North American Actuarial Journal, 2007, vol. 11, issue 2, 35-42

Abstract: We show that the only coherent distortion risk measure that is consistent with respect to 3-convex order and hence with stochastic dominance of order 3 is the expected value, thus generalizing previous results of Hurlimann and solving a problem posed by Yamai and Yoshiba.

Date: 2007
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DOI: 10.1080/10920277.2007.10597446

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