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Some new classes of consistent risk measures

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  • Goovaerts, Marc J.
  • Kaas, Rob
  • Dhaene, Jan
  • Tang, Qihe

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  • Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2004. "Some new classes of consistent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 505-516, June.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:3:p:505-516
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    References listed on IDEAS

    as
    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2003. "A Unified Approach to Generate Risk Measures," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 173-191, November.
    3. 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.
    4. Jan Dhaene & Mark Goovaerts & Rob Kaas, 2003. "Economic Capital Allocation Derived from Risk Measures," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(2), pages 44-56.
    5. Gerber, Hans U., 1985. "On additive principles of zero utility," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 249-251, October.
    6. repec:cup:astinb:v:26:y:1996:i:01:p:71-92_00 is not listed on IDEAS
    7. repec:cup:astinb:v:9:y:1977:i:1-2:p:75-83_01 is not listed on IDEAS
    8. Haezendonck, J. & Goovaerts, M., 1982. "A new premium calculation principle based on Orlicz norms," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 41-53, January.
    9. 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.
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