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.
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- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
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- 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.
- 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.
- Denuit, Michel, 2001. "Laplace transform ordering of actuarial quantities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 83-102, August.
- 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.
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