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Paper detail

Distortion Risk Measures and Elicitability

We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. Elicitability has recently been discussed as a desirable criterion for risk measures, motivated by statistical considerations of forecasting. We reveal the mathematical conflict between the requirements of elicitability and comonotonic additivity which intuitively explains why only Value-at-Risk and the mean are elicitable distortion risk measures in a general sense.

preprint2014arXivOpen access
Ruodu WangJohanna F. Ziegel
q-fin.RMq-fin.MF
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Ruodu WangJohanna F. Ziegel

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