Risk measures based on behavioural economics theory
type: Item
instance of: scholarly article
title: Risk measures based on behavioural economics theory
zbMATH Open document ID: 1397.91606
author: Tiantian Mao
author: Jun Cai
published in: Finance and Stochastics
publication date: 2018-04-06T00:00:00Z
review text: The authors propose two new classes of risk measures based on behavioural economics theory which are the generalized quantiles based on rank dependent expected utility (RDEU) and the generalized shortfalls induced from cumulative prospect theory (CPT). The risk measures based on these behavioural economics theories cover important risk measures such as distortion risk measures, expectiles and shortfall risk measures. The authors show that the classes of risk measures derived from RDEU theory and CPT are equivalent, present the properties of the proposed risk measures and give sufficient and necessary conditions for them to be coherent and convex, respectively. As applications of these results, new coherent or convex, but not coherent risk measures can be obtained by choosing appropriate utility functions and distortion functions.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6856572
zbMATH Keywords: distortion risk measure
zbMATH Keywords: expectile
zbMATH Keywords: coherent risk measure
zbMATH Keywords: convex risk measure
zbMATH Keywords: monetary risk measure
zbMATH Keywords: stop-loss order preserving
zbMATH Keywords: rank-dependent expected utility theory
zbMATH Keywords: cumulative prospect theory
MaRDI profile type: Publication
full work available at URL: s00780-018-0358-6
OpenAlex ID: W2792272759
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DOI: 10.1007/S00780-018-0358-6
Wikidata QID: Q130147838
description: scientific article; zbMATH DE number 6856572