A Comonotonic Image of Independence for Additive Risk Measures

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A Comonotonic Image of Independence for Additive Risk Measures

Author Info

Marc J. Goovaerts () (Faculty of Economics and Econometrics, Universiteit van Amsterdam, and Cath. University of Leuven, Center for Risk and Insurance Studies)
Rob Kaas (Faculty of Economics and Econometrics, Universiteit van Amsterdam)
Roger J.A. Laeven () (Faculty of Economics and Econometrics, Universiteit van Amsterdam)
Qihe Tang (Faculty of Economics and Econometrics, Universiteit van Amsterdam)

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.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 04-030/4.

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Date of creation: 15 Mar 2004
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Handle: RePEc:dgr:uvatin:20040030

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-03-22 (All new papers)
NEP-DEV-2004-03-22 (Development)
NEP-FIN-2004-03-22 (Finance)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Denuit, Michel, 2001. "Laplace transform ordering of actuarial quantities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 83-102, August. [Downloadable!] (restricted)
Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October. [Downloadable!] (restricted)
Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J., 1989. "Properties of the Esscher premium calculation principle," Insurance: Mathematics and Economics, Elsevier, vol. 8(4), pages 261-267, December. [Downloadable!] (restricted)
Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August. [Downloadable!] (restricted)
Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January. [Downloadable!] (restricted)

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