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The limitations of comonotonic additive risk measures: a literature review

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  • Samuel Solgon Santos
  • Marcelo Brutti Righi
  • Eduardo de Oliveira Horta

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 central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant.

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  • Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
    • Handle: RePEc:arx:papers:2212.13864
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