The limitations of comonotonic additive risk measures: a literature review

IF 1.4 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS

Decisions in Economics and Finance Pub Date : 2024-08-03 DOI:10.1007/s10203-024-00469-7

Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta

引用次数: 0

Abstract

Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with properties that are central in specific contexts. In this paper, we present a literature review of these incompatibilities. Specifically, we highlight the conflict between comonotonic additivity and surplus invariance, eligible assets, elicitabilty, and dynamic consistency.

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单调相加风险度量的局限性：文献综述

人们对满足协约可加性公理的风险度量进行了广泛的研究，这可以说是因为大量结果表明了这类风险度量的有趣方面。然而，最近的研究表明，该公理与特定情况下的核心属性不相容。在本文中，我们将对这些不相容之处进行文献综述。具体来说，我们强调了协约可加性与盈余不变性、合格资产、可激发性和动态一致性之间的冲突。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Decisions in Economics and Finance SOCIAL SCIENCES, MATHEMATICAL METHODS-

CiteScore

2.50

自引率

9.10%

发文量

期刊介绍： Decisions in Economics and Finance: A Journal of Applied Mathematics is the official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES). It provides a specialised forum for the publication of research in all areas of mathematics as applied to economics, finance, insurance, management and social sciences. Primary emphasis is placed on original research concerning topics in mathematics or computational techniques which are explicitly motivated by or contribute to the analysis of economic or financial problems.