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arXiv · 2503.05256

Distortion risk measures of sums of two counter-monotonic risks

Chunle Huang
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Abstract

In this paper, we will show that under certain conditions, associated to any fixed distortion function $g$, the distortion risk measure of a sum of two counter-monotonic risks can be expressed as the sum of two related distortion risk measures of the marginals involved, one associated to the original distortion function $g$ and the other associated to the dual distortion function of $g$. This result extends some of the work in \cite{Chaoubi et al. (2020)} and \cite{HLD} since the class of distortion risk measures includes the risk measure of VaR and TVaR as special cases.

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Chunle Huang. 2025-03-07. Distortion risk measures of sums of two counter-monotonic risks. https://arxiv.org/abs/2503.05256

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