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Distortion Riskmetrics On General Spaces

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  • Wang, Qiuqi
  • Wang, Ruodu
  • Wei, Yunran

Abstract

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.

Suggested Citation

  • Wang, Qiuqi & Wang, Ruodu & Wei, Yunran, 2020. "Distortion Riskmetrics On General Spaces," ASTIN Bulletin, Cambridge University Press, vol. 50(3), pages 827-851, September.
    • Handle: RePEc:cup:astinb:v:50:y:2020:i:3:p:827-851_6
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