arXiv subjects

Samuel Solgon Santos

Publications and source records attributed to Samuel Solgon Santos.

2 recordsLinked to original sources

arXiv2024

The limitations of comonotonic additive risk measures: a literature review

Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant.

q-fin.RM↗

arXiv2023

A note on the induction of comonotonic additive risk measures from acceptance sets

We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets and their complements are stable under convex combinations of comonotonic random variables. A generalization of this result applies to risk measures that are additive for random variables with a priori specified dependence structures, e.g., perfectly correlated, uncorrelated, or independent random variables.

q-fin.MF↗