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1 results

  • DISTORTION RISKMETRICS ON GENERAL SPACES

  • Qiuqi Wang, Ruodu Wang, Yunran Wei
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 50 / Issue 3 / September 2020
    Published online by Cambridge University Press:
    11 June 2020, pp. 827-851
    Print publication:
    September 2020

  • The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, finiteness, convexity, and continuity results on general model spaces, extending various results in the existing literature on distortion risk measures and signed Choquet integrals. This paper offers a comprehensive toolkit of theoretical results on distortion riskmetrics which are ready for use in applications.