| Authors |
|
| Publication date |
2004
|
| Journal |
Insurance: Mathematics & Economics
|
| Volume | Issue number |
35 | 3
|
| Pages (from-to) |
581-594
|
| Number of pages |
14
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| 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
|
| Published at |
https://doi.org/10.1016/j.insmatheco.2004.07.005
|
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