Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2004-03-15
Number: 04-030/4
Author-Name: Marc J. Goovaerts
Author-Email: marc.goovaerts@econ.kuleuven.ac.be
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam, and Cath. University of Leuven, Center for Risk and Insurance Studies
Author-Name: Rob Kaas
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Author-Name: Roger J.A. Laeven
Author-Email: r.j.a.laeven@uva.nl
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Author-Name: Qihe Tang
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Title: A Comonotonic Image of Independence for Additive Risk Measures
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.
Classification-JEL: D81; G22
Keywords: Risk measures; Additivity; Exponential order; Laplace transform order; Esscher transform; Comonotonicity
File-Url: https://papers.tinbergen.nl/04030.pdf
File-Format: application/pdf
File-Size: 266095 bytes
Handle: RePEc:tin:wpaper:20040030