| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151419 | Statistics & Probability Letters | 2015 | 4 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ruodu Wang, Johanna F. Ziegel,