单调相加风险度量的局限性:文献综述

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
{"title":"单调相加风险度量的局限性:文献综述","authors":"Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta","doi":"10.1007/s10203-024-00469-7","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2024-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The limitations of comonotonic additive risk measures: a literature review\",\"authors\":\"Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta\",\"doi\":\"10.1007/s10203-024-00469-7\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>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.</p>\",\"PeriodicalId\":43711,\"journal\":{\"name\":\"Decisions in Economics and Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2024-08-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Decisions in Economics and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s10203-024-00469-7\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"SOCIAL SCIENCES, MATHEMATICAL METHODS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Decisions in Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10203-024-00469-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"SOCIAL SCIENCES, MATHEMATICAL METHODS","Score":null,"Total":0}
引用次数: 0

摘要

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。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
The limitations of comonotonic additive risk measures: a literature review

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.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Decisions in Economics and Finance
Decisions in Economics and Finance SOCIAL SCIENCES, MATHEMATICAL METHODS-
CiteScore
2.50
自引率
9.10%
发文量
10
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.
期刊最新文献
On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models Stochastic assessment of special-rate life annuities Newsvendor problem with discrete demand and constrained first moment under ambiguity Erio Castagnoli: scientist, teacher, mentor and friend Two sided ergodic singular control and mean-field game for diffusions
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1