A Comonotonic Image of Independence for Additive Risk Measures

Posted: 27 Jan 2005

See all articles by Marc Goovaerts

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE)

Roger J. A. Laeven

University of Amsterdam - Department of Quantitative Economics (KE)

Qihe Tang

University of Amsterdam - Amsterdam School of Economics (ASE)

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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

JEL Classification: D81, G22

Suggested Citation

Goovaerts, Marc and Kaas, Rob and Laeven, Roger Jean Auguste and Tang, Qihe, A Comonotonic Image of Independence for Additive Risk Measures. Insurance: Mathematics and Economics, Vol. 35, No. 3, pp. 581-594, 2005, Available at SSRN: https://ssrn.com/abstract=655101

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Roger Jean Auguste Laeven (Contact Author)

University of Amsterdam - Department of Quantitative Economics (KE) ( email )

Valckenierstraat 65-67
Amsterdam, 1018 XE
Netherlands
+31 20 525 4252 (Phone)

HOME PAGE: http://www.rogerlaeven.com

Qihe Tang

University of Amsterdam - Amsterdam School of Economics (ASE) ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

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