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A Comonotonic Image of Independence for Additive Risk Measures
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - 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/10010325273
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On a partial ordering among risks
Goovaerts, Marc J. - 1979
Persistent link: https://www.econbiz.de/10001451624
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Effective actuarial methods
Goovaerts, Marc J. (contributor) - 1990
Persistent link: https://www.econbiz.de/10000816744
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Risk measures, measures for insolvency risk and economical capital allocation
Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - In: Tijdschrift voor economie en management 46 (2001) 4, pp. 545-559
Persistent link: https://www.econbiz.de/10001710410
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
Persistent link: https://www.econbiz.de/10001993311
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Risk measures and dependencies of risks
Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc J. - 2004
Persistent link: https://www.econbiz.de/10002263800
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A note on additive risk measures in rank-dependent utility
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10008654259
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Worst case risk measurement : back to the future?
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392
Persistent link: https://www.econbiz.de/10009404700
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Decision principles derived from risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302
Persistent link: https://www.econbiz.de/10008747061