Elicitable distortion risk measures: A concise proof

Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is either a Value-at-Risk or the mean. We give a concise alternative proof of this result, and discuss the conflict between comonotonic additivity and elicitability.

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Year of publication:	2015
Authors:	Wang, Ruodu ; Ziegel, Johanna F.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 100.2015, C, p. 172-175
Publisher:	Elsevier
Subject:	Distortion risk measures \| Elicitability \| Value-at-Risk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263178