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- W4313303706 abstract "The theory of risk measures has grown enormously in the last twenty years. In particular, risk measures satisfying the axiom of comonotonic additivity were extensively studied, arguably because of the affluence of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with properties that are central in specific contexts. In this paper we present a literature review of these incompatibilities. As a secondary contribution, we show that the comonotonic additivity axiom conflicts with the property of excess invariance for risk measures and, in a milder form, with the property of surplus invariance for acceptance sets." @default.
- W4313303706 created "2023-01-06" @default.
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- W4313303706 date "2022-12-28" @default.
- W4313303706 modified "2023-09-26" @default.
- W4313303706 title "The limitations of comonotonic additive risk measures: a literature review" @default.
- W4313303706 doi "https://doi.org/10.48550/arxiv.2212.13864" @default.
- W4313303706 hasPublicationYear "2022" @default.
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