Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of non-independent random variables and propose approximations based on the concept of comonotonicity.