On a relationship between distorted and spectral risk measures

Henryk Gzyl () and Silvia Mayoral

MPRA Paper from University Library of Munich, Germany

Abstract: We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions. Besides that we prove that distorted measures are absolutely continuous with respect to the original measure.

Keywords: Coherent risk measure; distortion function; Spectral measures; Risk Aversion Function (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2006-11
New Economics Papers: this item is included in nep-rmg and nep-upt
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Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/916/1/MPRA_paper_916.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/1940/1/MPRA_paper_1940.pdf revised version (application/pdf)

Related works:
Working Paper: On a relationship between distorted and spectral risk measures (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:916

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