Distortion Risk Measures and Elicitability
Risk Management
2014-05-27 v2 Mathematical Finance
Abstract
We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. Elicitability has recently been discussed as a desirable criterion for risk measures, motivated by statistical considerations of forecasting. We reveal the mathematical conflict between the requirements of elicitability and comonotonic additivity which intuitively explains why only Value-at-Risk and the mean are elicitable distortion risk measures in a general sense.
Keywords
Cite
@article{arxiv.1405.3769,
title = {Distortion Risk Measures and Elicitability},
author = {Ruodu Wang and Johanna F. Ziegel},
journal= {arXiv preprint arXiv:1405.3769},
year = {2014}
}
Comments
The paper has been withdrawn by the authors because it is not properly written to be cited by the research community