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Distortion risk measures of sums of two counter-monotonic risks

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  • Chunle Huang

Abstract

In this paper, we will show that under certain conditions, associated to any fixed distortion function $g$, the distortion risk measure of a sum of two counter-monotonic risks can be expressed as the sum of two related distortion risk measures of the marginals involved, one associated to the original distortion function $g$ and the other associated to the dual distortion function of $g$. This result extends some of the work in \cite{Chaoubi et al. (2020)} and \cite{HLD} since the class of distortion risk measures includes the risk measure of VaR and TVaR as special cases.

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  • Chunle Huang, 2025. "Distortion risk measures of sums of two counter-monotonic risks," Papers 2503.05256, arXiv.org.
    • Handle: RePEc:arx:papers:2503.05256
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