Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances |
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| Authors: | Fabio Bellini PhD Camilla Caperdoni |
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| Affiliation: | Department of Quantitative Methods , University of Milan-Bicocca , Piazza Ateneo Nuovo 1 , 20126 Milan , Italy |
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| Abstract: | Abstract We show that the only coherent distortion risk measure that is consistent with respect to 3-convex order and hence with stochastic dominance of order 3 is the expected value, thus generalizing previous results of Hurlimann and solving a problem posed by Yamai and Yoshiba. |
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