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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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Effective actuarial methods
Goovaerts, Marc J. (contributor) - 1990
Persistent link: https://www.econbiz.de/10000816744
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Can a coherent risk measure be too subadditive?
Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 365-386
Persistent link: https://www.econbiz.de/10003713544
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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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Insurance premiums : theory and applications
Goovaerts, Marc J.; Vylder, Florent de; Haezendonck, Jean - 1984
Persistent link: https://www.econbiz.de/10000055726
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Can a coherent risk measure be too subadditive?
Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - 2006
Persistent link: https://www.econbiz.de/10003329677
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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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Decision principles derived from risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302
Persistent link: https://www.econbiz.de/10008747061