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Remarks on quantiles and distortion risk measures. (English) Zbl 1256.91027
Summary: 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.

MSC:
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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