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:	[2005]
Authors:	Goovaerts, Marc J.
Other Persons:	Kaas, R. (contributor) ; Laeven, Roger J. A. (contributor) ; Tang, Qihe (contributor)
Publisher:	[2005]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Series:	Tinbergen Institute Discussion Papers Series
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2004 erstellt Volltext nicht verfügbar
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/10012785191