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A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - In: Insurance: Mathematics and Economics 35 (2004) 3, pp. 581-594

Persistent link: https://www.econbiz.de/10005374866

Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance

Genest, Christian; Gerber, Hans U.; Goovaerts, Marc J.; … - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 143-145

Persistent link: https://www.econbiz.de/10004973645

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Institute - 2004

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...

Persistent link: https://www.econbiz.de/10005450808

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 2004

Persistent link: https://www.econbiz.de/10011256720

Some new classes of consistent risk measures

Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 505-516

Persistent link: https://www.econbiz.de/10005380617