Seminário de Pesquisa 22/10
Deixe um comentário / Economia Aplicada, Seminários de Pesquisa / Por Helena Camillo
Ocorrerá no dia 22/10/2025, quarta-feira, às 14h na sala 401-A – FCE, o Seminário de Pesquisa “The limitation of comonotonic additive risk measures: a literature review”, na área de Economia Aplicada, ministrado pelo Pós-Doutorando Samuel Solgon Santos (UFRGS) .
Resumo:
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with properties that are central in specific contexts. In this paper, we present a literature review of these incompatibilities. Specifically, we highlight the conflict between comonotonic additivity and surplus invariance, eligible assets, elicitabilty, and dynamic consistency.