2 papers
q-fin.MF2023
A note on the induction of comonotonic additive risk measures from acceptance sets
Samuel Solgon Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi +1
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 in…
q-fin.RM2022
The limitations of comonotonic additive risk measures: a literature review
Samuel Solgon Santos, Marcelo Brutti Righi, Eduardo de Oliveira Horta
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measur…