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Solvency capital, risk measures and cosmonotonicity : a review
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, … - 2004
Persistent link: https://www.econbiz.de/10002153389
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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
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Some new classes of consistent risk measures
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe - In: Insurance / Mathematics & economics 34 (2004) 3, pp. 505-516
Persistent link: https://www.econbiz.de/10006881926
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; 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/10011334834
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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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A Comonotonic Image of Independence for Additive Risk Measures
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 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/10011256720
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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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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
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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
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Some New Classes of Consistent Risk Measures
Goovaerts, Marc - 2010
Many types of insurance premium principles and/or risk measures can be characterized by means of a set of axioms, which in many cases are rather arbitrarily chosen and not always in accordance with economic reality. In the present paper we gener alize Yaari's risk measure by relaxing his axioms....
Persistent link: https://www.econbiz.de/10012761697