The Pure and Applied Mathematics (한국수학교육학회지시리즈B:순수및응용수학)

Korean Society of Mathematical Education (한국수학교육학회)
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ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES

  • Kim, Ju-Hong (Department of Mathematics, Sungshin Women's University)
  • Published : 2009.02.28
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Abstract

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

Keywords

References

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