论文标题
共纳添加剂风险度量的局限性：文献综述
The limitations of comonotonic additive risk measures: a literature review
论文作者
论文摘要
经过广泛的研究，对满足共音添加性公理的风险度量进行了广泛的研究，这可以说是由于大量结果表明了这种风险措施的有趣方面。然而，最近的研究表明，该公理在特定情况下与中心特性不相容。在本文中，我们介绍了这些不相容性的文献综述。此外，我们还使用共官添加风险度量的Choquet表示，以表明它们不能剩余不变。
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts. In this paper, we present a literature review of these incompatibilities. In addition, we use the Choquet representation of comonotonic additive risk measures to show they cannot be surplus invariant.
