Similar Search Results

Solvency capital, risk measures and cosmonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, … - 2004

Persistent link: https://www.econbiz.de/10002153389

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

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

On partial hedging and counter-monotonic sums

Cheung, Ka Chun; Dhaene, Jan; Tang, Qihe - 2011

Persistent link: https://www.econbiz.de/10009485837

Reducing risk by merging counter-monotonic risks

Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65

Persistent link: https://www.econbiz.de/10010259677

Some remarks on quantiles and distortion risk measures

Dhaene, Jan; Kukush, Alexander; Linders, Daniel; Tang, Qihe - 2012

Persistent link: https://www.econbiz.de/10009678492