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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2004"

AuteursM.J. Goovaerts, R. Kaas, J.L.M. Dhaene, Q. Tang
TitelSome new classes of consistent risk measures
TijdschriftInsurance: Mathematics & Economics
Jaargang34
Jaar2004
Nummer3
Pagina's505-516
ISSN01676687
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingMany 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 generalize 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.
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