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...

We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in Weber (2006). From a financial point of view, Orlicz risk...