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 …. The risk measure characterized can be regarded as a mixed exponential premium. …

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 …. The risk measure characterized can be regarded as a mixed exponential premium. …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benets. The techniques are further … developed in this paper to address in a systematic way risk measures for death benets with the consideration of dynamic …