1. What attitudes to risk underlie distortion risk measure choices?
- Author
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Miguel Santolino, Montserrat Guillén, Jaume Belles-Sampera, and Universitat de Barcelona
- Subjects
Statistics and Probability ,Risk ,Economics and Econometrics ,Risk management tools ,02 engineering and technology ,Factor analysis of information risk ,Economic indicators ,Teoria d'operadors ,01 natural sciences ,010104 statistics & probability ,Risc (Economia) ,0202 electrical engineering, electronic engineering, information engineering ,Economics ,Distortion risk measure ,0101 mathematics ,Risk management ,Credit risk ,Actuarial science ,business.industry ,Risc de crèdit ,Risk measure ,Risk management, Risk tolerance, GlueVaR, Solvency II, Basel III ,Absolute risk reduction ,Operator theory ,Presa de decisions ,Time consistency ,020201 artificial intelligence & image processing ,Indicadors econòmics ,Statistics, Probability and Uncertainty ,business ,Decision making - Abstract
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk attitude involved in a risk evaluation, when executed by the family of distortion risk measures. First, we show that aggregation indicators defined for discrete Choquet integrals provide informa- tion about the implicit global risk attitude of the agent. Second, an analysis of the distortion function offers a local description of the agent's stance on risk in relation to the occurrence of accumulated losses. Here, the concepts of absolute risk attitude and local risk attitude arise naturally. An example is provided to illustrate the usefulness of this strategy for characterizing risk attitudes in an insurance company.
- Published
- 2016