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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, 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
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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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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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Risk measurement with the equivalent utility principles
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc J.; Kaas, R.; … - 2005
Persistent link: https://www.econbiz.de/10003267099
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How to (and how not to) compute stop-loss premiums in practice
Kaas, R. - 1993
Persistent link: https://www.econbiz.de/10000886564
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Ordering claim size distributions and mixed poisson probabilities
Kaas, R.; Hesselager, O. - 1995
Persistent link: https://www.econbiz.de/10000915470
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Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality
Willemse, W.J.; Kaas, R. - 2007
Persistent link: https://www.econbiz.de/10003482427
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Comonotic approximations for a generalized provisioning problem with application to optimal portfolio selection
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc J. - 2009
Persistent link: https://www.econbiz.de/10009126884