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

We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets and their complements are stable under convex...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	arXiv.org 2023-07
Hauptverfasser:	Santos, Samuel Solgon, Moresco, Marlon Ruoso, Marcelo Brutti Righi, de Oliveira Horta, Eduardo
Format:	Artikel
Sprache:	eng
Schlagworte:	Independent variables Random variables Risk acceptance
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!