Henryk, Gzyl and Silvia, Mayoral (2006): On a relationship between distorted and spectral risk measures.
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Abstract
We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a reweighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions. Besides that we prove that distorted measures are absolutely continuous with respect to the original measure. This allows us to find a link between the risk measures based on relative entropy and spectral risk measures or measures based on distortion risk function.
Item Type:  MPRA Paper 

Original Title:  On a relationship between distorted and spectral risk measures 
Language:  English 
Keywords:  Coherent risk measure; distortion function; Spectral measures; Risk Aversion Function 
Subjects:  G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice; Investment Decisions 
Item ID:  1940 
Depositing User:  Silvia Mayoral 
Date Deposited:  27. Feb 2007 
Last Modified:  03. Mar 2013 02:13 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/1940 
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On a relationship between distorted and spectral risk measures. (deposited 24. Nov 2006)
 On a relationship between distorted and spectral risk measures. (deposited 27. Feb 2007) [Currently Displayed]