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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

On the Haezendonck-Goovaerts risk measure for extreme risks

Tang, Qihe; Fan, Yang - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 217-227

Persistent link: https://www.econbiz.de/10009501684

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

Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function

Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 59 (2014), pp. 311-320

Persistent link: https://www.econbiz.de/10010469980

Asymptotics for risk capital allocations based on conditional tail expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324

Persistent link: https://www.econbiz.de/10009404721

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

Persistent link: https://www.econbiz.de/10012195005

The gradient allocation principle based on the higher moment risk measure

Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013530990