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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 04-030/4
- Classification
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Insurance; Insurance Companies; Actuarial Studies
- Subject
-
Risk measures
Additivity
Exponential order
Laplace transform order
Esscher transform
Comonotonicity
Risiko
Messung
- Event
-
Geistige Schöpfung
- (who)
-
Goovaerts, Marc J.
Kaas, Rob
Laeven, Roger J.A.
Tang, Qihe
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Goovaerts, Marc J.
- Kaas, Rob
- Laeven, Roger J.A.
- Tang, Qihe
- Tinbergen Institute
Time of origin
- 2004
Other Objects (12)
Dynamic Choice, Independence and Emotions
Measures of Fit for Multinomial Discrete Models
Measures of Contributions to Price Discovery: A Comparison
Payment Choice, Image Motivation and Contributions to Charity
Nonparametric Tests for Serial Independence Based on Quadratic Forms
Tracing the Changing Measures of Unemployment in Dutch Unemployment Statistics 1900-1940
Growth Empirics with Institutional Measures and its Application to Transition Countries: A Survey
Tests for Serial Independence and Linearity based on Correlation Integrals
The Degradation of Distorted Performance Measures
Testing for Distortions in Performance Measures: An Application to Residual Income Based Measures like Economic Value Added
Independence Axioms for Water Allocation
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Dynamic Choice, Independence and Emotions
Measures of Fit for Multinomial Discrete Models
Measures of Contributions to Price Discovery: A Comparison
Payment Choice, Image Motivation and Contributions to Charity
Nonparametric Tests for Serial Independence Based on Quadratic Forms
Tracing the Changing Measures of Unemployment in Dutch Unemployment Statistics 1900-1940
Growth Empirics with Institutional Measures and its Application to Transition Countries: A Survey
Tests for Serial Independence and Linearity based on Correlation Integrals
The Degradation of Distorted Performance Measures
Testing for Distortions in Performance Measures: An Application to Residual Income Based Measures like Economic Value Added
Independence Axioms for Water Allocation
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Dynamic Choice, Independence and Emotions
Measures of Fit for Multinomial Discrete Models
Measures of Contributions to Price Discovery: A Comparison
Payment Choice, Image Motivation and Contributions to Charity
Nonparametric Tests for Serial Independence Based on Quadratic Forms
Tracing the Changing Measures of Unemployment in Dutch Unemployment Statistics 1900-1940
Growth Empirics with Institutional Measures and its Application to Transition Countries: A Survey
Tests for Serial Independence and Linearity based on Correlation Integrals
The Degradation of Distorted Performance Measures
Testing for Distortions in Performance Measures: An Application to Residual Income Based Measures like Economic Value Added
Independence Axioms for Water Allocation