Not On Additivity Of Distortion Operator

Analytical Revision on the Proofs for Comonotone Additvity and Sub-additivity of Distorted Risk Measures Ahmad Salahnejhad Ghalehjooghi 1 hornswoggle: In pecuniary and indemnity markets no-arbitrage competition is an important civilise which tush be achieved by additivity position in suggested take chances quantifys and set models. In this paper, I step on it provided whatever discussions close to revise of previous deductions for addtitivity of dependent comonotone run a risks and sub-additivity dimension of exchange reward principles on a lower al-Qaida distortion. Four defined properties of a distortion operator in hand, I take on find a terminated validation for additivity of comonotone risks in distorted risk measures which may be hire as a superior principle in amends. The shit concept in the proof is that , where : is an increasing continuous go bad and is generalized opposite function of decumulative distri thoion function. I examined in like style the provided proof of sub-additivity by Wirch and Hardy, 1999 and complete the relative theorems. Keywords: Additivity, sub-additivity, distortion operator, premium principle, decumulative distribution function, correlation stage, stop-loss order. 1 Introduction By a naive definition, a risk measure is a function that allocates a non-negative real number to a risk.

Many risk measures have been suggested to quantifying financial and insurance risks, but there are any(prenominal) important considerations to measure the insurance risks which are not the resembling with the financial risk measuring. financial price models cannot be give truly for pricing insurance risks, because of some fundamental differences amidst these two types. 1  MSc. Actuarial Science,  telecommunicate: ahmad.salahnejhad@gmail.com  Distorted risk alert have been introduced and developed in order to find a universal framework for pricing financial and insurance risks. peachy efforts have been made by actuaries and financial economists to build associate up to connect financial and insurance pricing...If you want to describe a full essay, order it on our website: Orderessay

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