Title: Remarks on quantiles and distortion risk measures
Authors: Dhaene, Jan ×
Kukush, Alexander
Linders, Daniƫl
Tang, Qihe #
Issue Date: 2012
Publisher: Springer
Series Title: European Actuarial Journal vol:2 issue:2 pages:319-328
Abstract: Distorted expectations can be expressed as weighted averages of quantiles. In this note, we show that this statement is essentially true, but that one has to be careful with the correct formulation of it. Furthermore, the proofs of the additivity property for distorted expectations of a comonotonic sum that appear in
the literature often do not cover the case of a general distortion function. We present a straightforward proof for the general case, making use of the appropriate
expressions for distorted expectations in terms of quantiles.
ISSN: 2190-9733
VABB publication type: VABB-1
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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