Authors
Jan Dhaene, Alexander Kukush, Daniël Linders, Qihe Tang
Publication date
2012/12
Journal
European Actuarial Journal
Volume
2
Pages
319-328
Publisher
Springer-Verlag
Description
Distorted expectations can be expressed as weighted averages of quantiles. In this note, we show that this statement is essentially true, but that one has to be careful with the correct formulation of it. Furthermore, the proofs of the additivity property for distorted expectations of a comonotonic sum that appear in the literature often do not cover the case of a general distortion function. We present a straightforward proof for the general case, making use of the appropriate expressions for distorted expectations in terms of quantiles.
Total citations
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Scholar articles
J Dhaene, A Kukush, D Linders, Q Tang - European Actuarial Journal, 2012