Abstract
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the concept of comonotonicity.
Volume
4
Page
53-61
Number
1
Year
2004
Keywords
Distortion risk measures; Value-at-Risk; Tail Value-at-Risk; Conditional tail expectation; comonotonicity
Categories
New Risk Measures
Publications
Belgian Actuarial Bulletin
