Title of article
A comonotonic image of independence for additive risk measures
Author/Authors
Goovaerts، نويسنده , , Marc J. and Kaas، نويسنده , , Rob and Laeven، نويسنده , , Roger J.A. and Tang، نويسنده , , Qihe، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
14
From page
581
To page
594
Abstract
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 related to an axiom of additivity for comonotonic random variables. The risk measure characterized can be regarded as a mixed exponential premium.
Keywords
Risk measures , Additivity , Exponential order , Laplace transform order , Esscher transform , Comonotonicity
Journal title
Insurance Mathematics and Economics
Serial Year
2004
Journal title
Insurance Mathematics and Economics
Record number
1542838
Link To Document