A comonotonic image of independence for additive risk measures

被引：45

作者：

Goovaerts, MJ

Kaas, R

Laeven, RJA

Tang, QH

机构：

[1] Univ Amsterdam, Dept Quanititat Econ, NL-1018 WB Amsterdam, Netherlands

[2] Catholic Univ Louvain, Ctr Risk & Insurance Studies, B-3000 Louvain, Belgium

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 35卷 / 03期

关键词：

risk measures; additivity; exponential order; laplace transform order; Esscher transform; comonotonicity;

D O I：

10.1016/j.insmatheco.2004.07.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：581 / 594

页数：14

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