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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.; … - 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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An optimization approach to the dynamic allocation of economic capital
Laeven, Roger J.A.; Goovaerts, Marc J. - 2003
We propose an optimization approach to allocating economic capital, distinguishing between an allocation principle and a measure for the risk residual...
Persistent link: https://www.econbiz.de/10005847405
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Modern actuarial risk theory : using R
Kaas, R.; Goovaerts, Marc J.; Dhaene, Jan; Denuit, Michel - 2009 - 2. ed., corr. 2. print.
Persistent link: https://www.econbiz.de/10003726725
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Risk measures and comonotonicity : a review
Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003329684
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Modern actuarial risk theory : using R
Kaas, R.; Goovaerts, Marc J.; Dhaene, Jan; Denuit, Michel - 2009 - 2nd ed., corr. 2nd printing
Persistent link: https://www.econbiz.de/10003870922
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A note on optimal lower bound approximations for risk measures of sums of lognormals
Vanduffel, Steven; Chen, X.; Dhaene, Jan; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003610847
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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