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What attitudes to risk underlie distortion risk measure choices?
Belles Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel
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.
Risc (Economia)
Risc de crèdit
Presa de decisions
Indicadors econòmics
Teoria d'operadors
Risk
Credit risk
Decision making
Economic indicators
Operator theory
cc-by-nc-nd, (c) Belles Sampera et al., 2015
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Working Paper
Universitat de Barcelona. Riskcenter
         

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