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
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. © 2007 Taylor & Francis Group, LLC.
Bellini, F., Caperdoni, C. (2007). Coherent distortion risk measures and higher order stochastic dominances. NORTH AMERICAN ACTUARIAL JOURNAL, 11(2), 35-42 [10.1080/10920277.2007.10597446].
Coherent distortion risk measures and higher order stochastic dominances
BELLINI, FABIO;
2007
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. © 2007 Taylor & Francis Group, LLC.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
