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...

We propose an optimization approach to allocating economic capital, distinguishing between an allocation principle and a measure for the risk residual...

The paper derives many existing risk measures and premium principles by minimizing a Markow bound for the tail probability. Our approach involves two exogenous functions v(S) and ... Minimizing a general Markow bound leads to the following unifying equation. [Marc J. Goovaerts, Rob Kaas, Jan...