Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta
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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.
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.
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