A Comonotonic Image of Independence for Additive Risk Measures

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:	[2006]
Authors:	Goovaerts, Marc J.
Other Persons:	Kaas, R. (contributor) ; Laeven, Roger J. A. (contributor) ; Tang, Qihe (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Insurance: Mathematics and Economics, Vol. 35, No. 3, pp. 581-594, 2005
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012783804