Some New Classes of Consistent Risk Measures
15 Pages Posted: 16 May 2010
Many types of insurance premium principles and/or risk measures can be characterized by means of a set of axioms, which in many cases are rather arbitrarily chosen and not always in accordance with economic reality. In the present paper we gener alize Yaari's risk measure by relaxing his axioms. In addition, we derive translation invariant minimal Orlicz risk measures, which we call Haezendonck risk measures, and obtain sufficient conditions on the risk measure of Bernoulli risks to fulfill additivity and superadditivity properties for Orlicz premium principles.
Keywords: Consistent risk measures, Haezendonck risk measure, Monotone convergence theorem, Yaari's dual theory of choice under risks
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