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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

How to (and how not to) compute stop-loss premiums in practice

Kaas, R. - 1993

Persistent link: https://www.econbiz.de/10000886564

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

Worst VaR scenarios with given marginals and measures of association

Kaas, R.; Laeven, Roger J. A.; Nelsen, Roger B. - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 146-158

Persistent link: https://www.econbiz.de/10009517648

How to (and how not to) compute stop-loss premiums in practice

Kaas, R. - In: Insurance / Mathematics & economics 13 (1993) 3, pp. 241-254

Persistent link: https://www.econbiz.de/10001163875

Ordering claim size distributions and mixed poisson probabilities

Kaas, R.; Hesselager, O. - 1995

Persistent link: https://www.econbiz.de/10000915470

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - In: Insurance: Mathematics and Economics 35 (2004) 3, pp. 581-594

Persistent link: https://www.econbiz.de/10005374866

A large deviation result for aggregate claims with dependent claim occurrences

Kaas, Rob; Tang, Qihe - In: Insurance: Mathematics and Economics 36 (2005) 3, pp. 251-259

Persistent link: https://www.econbiz.de/10005374897

Kaas, Rob - In: Insurance: Mathematics and Economics 30 (2002) 3, pp. 293-296

Persistent link: https://www.econbiz.de/10005380713

A large deviation result for aggregate claims with dependent claim occurrences

Kaas, Rob; Tang, Qihe - In: Insurance / Mathematics & economics 36 (2005) 3, pp. 251-259

Persistent link: https://www.econbiz.de/10006876269

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