Song, Yongsheng; Yan, Jia-An - In: Insurance: Mathematics and Economics 45 (2009) 3, pp. 459-465
This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the...