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) |
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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: |
05 Dec 2022 14:50 |
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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