Jia-an Yan
Academy of Science of China
Title: Risk measures with comonotonic subadditivity and respecting stochastic orders.
Taking subadditivity as a main axiom, Artzner et.al.(1997, 1999) introduced the so-called coherent risk measures. Song and Yan (2006) introduced risk measures which are comonotonically subadditive or convex. In this talk we introduce risk measures which are not only comonotonically subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order, and give their representations in terms of Choquet integrals w.r.t. distorted probabilities. This talk is based on a recent work with Yongsheng Song.

©2007, Department of Mathematical Sciences
Last Modified: September 5, 2007