A comonotonic image of independence for additive risk measures

Marc J. Goovaerts; Rob Kaas; Roger J. A. Laeven; Qihe Tang

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is related to an axiom of additivity for comonotonic random variables. The risk measure characterized can be regarded as a mixed exponential premium.

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Year of publication:	2004
Authors:	Goovaerts, Marc J. ; Kaas, R. ; Laeven, Roger J. A. ; Tang, Qihe
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	Risk measures \| Additivity \| Exponential order \| Laplace transform order \| Esscher transform \| Comonotonicity \| Risiko \| Risk \| Theorie \| Theory \| Messung \| Measurement \| Risikomaß \| Risk measure