A Comonotonic Image of Independence for Additive Risk Measures

Marc Goovaerts, Rob Kaas, Roger Laeven and Qihe Tang
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Rob Kaas: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Qihe Tang: Faculty of Economics and Econometrics, Universiteit van Amsterdam

No 04-030/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

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 (search for similar items in EconPapers)
JEL-codes: D81 G22 (search for similar items in EconPapers)
Date: 2004-03-15
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Citations: View citations in EconPapers (45)

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Journal Article: A comonotonic image of independence for additive risk measures (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20040030

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