A Comonotonic Image of Independence for Additive Risk Measures

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 related to an axiom of additivity for comonotonic random variables. The risk measure characterized can be regarded as a mixed exponential premium.

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Year of publication:	2004-03-15
Authors:	Goovaerts, Marc J. ; Kaas, Rob ; Laeven, Roger J.A. ; Tang, Qihe
Institutions:	Tinbergen Institute
Subject:	Risk measures \| Additivity \| Exponential order \| Laplace transform order \| Esscher transform \| Comonotonicity

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 04-030/4
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

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