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.
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:  916 
Depositing User:  Silvia Mayoral 
Date Deposited:  24 Nov 2006 
Last Modified:  26 Sep 2019 11:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/916 
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