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A note on the induction of comonotonic additive risk measures from acceptance sets

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  • Santos, Samuel S.
  • Moresco, Marlon R.
  • Righi, Marcelo B.
  • Horta, Eduardo

Abstract

We demonstrate that an acceptance set generates a comonotonic additive risk measure if and only if the acceptance set and its complement are closed for convex combinations of comonotonic random variables. Furthermore, this equivalence extends to deviation measures.

Suggested Citation

  • Santos, Samuel S. & Moresco, Marlon R. & Righi, Marcelo B. & Horta, Eduardo, 2024. "A note on the induction of comonotonic additive risk measures from acceptance sets," Statistics & Probability Letters, Elsevier, vol. 208(C).
    • Handle: RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130
    DOI: 10.1016/j.spl.2024.110044
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