Some New Classes of Consistent Risk Measures

15 Pages Posted: 16 May 2010

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)

Jan Dhaene

Katholieke Universiteit Leuven

Qihe Tang

University of Amsterdam - Amsterdam School of Economics (ASE)

Abstract

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

Suggested Citation

Goovaerts, Marc and Kaas, Rob and Dhaene, Jan and Tang, Qihe, Some New Classes of Consistent Risk Measures. Insurance: Mathematics and Economics, Vol. 34, No. 3, pp. 505-516, 2004 , Available at SSRN: https://ssrn.com/abstract=892184

Marc Goovaerts (Contact Author)

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

Jan Dhaene

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Qihe Tang

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

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
78
Abstract Views
1,316
Rank
559,388
PlumX Metrics