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| Authors | M.J. Goovaerts, R. Kaas, R.J.A. Laeven, Q. Tang | | Title | A Comonotonic Image of Independence for Additive Risk Measures |
| Journal | Insurance: Mathematics & Economics |
| Volume | 35 |
| Year | 2004 |
| Issue | 3 |
| Pages | 581-594 |
| ISSN | 01676687 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| 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. |
| Document type | Article |
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