Elicitable distortion risk measures: A concise proof

Wang, Ruodu; Ziegel, Johanna F. (2015). Elicitable distortion risk measures: A concise proof. Statistics and Probability Letters, 100, pp. 172-175. Elsevier 10.1016/j.spl.2015.02.004

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Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is either a Value-at-Risk or the mean. We give a concise alternative proof of this result, and discuss the conflict between comonotonic additivity and elicitability.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Ziegel, Johanna F.

Subjects:

300 Social sciences, sociology & anthropology > 360 Social problems & social services
500 Science > 510 Mathematics

ISSN:

1669-1676

Publisher:

Elsevier

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

02 Dec 2015 10:00

Last Modified:

01 Jun 2017 02:30

Publisher DOI:

10.1016/j.spl.2015.02.004

ArXiv ID:

1405.3769v2

Uncontrolled Keywords:

Distortion risk measures

BORIS DOI:

10.7892/boris.73247

URI:

https://boris.unibe.ch/id/eprint/73247

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