Arbeitspapier
A Comonotonic Image of Independence for Additive Risk Measures
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 04-030/4
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Insurance; Insurance Companies; Actuarial Studies
- Thema
-
Risk measures
Additivity
Exponential order
Laplace transform order
Esscher transform
Comonotonicity
Risiko
Messung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Goovaerts, Marc J.
Kaas, Rob
Laeven, Roger J.A.
Tang, Qihe
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Goovaerts, Marc J.
- Kaas, Rob
- Laeven, Roger J.A.
- Tang, Qihe
- Tinbergen Institute
Entstanden
- 2004
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