Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86311
Authors: 
Goovaerts, Marc J.
Kaas, Rob
Laeven, Roger J.A.
Tang, Qihe
Year of Publication: 
2004
Series/Report no.: 
Tinbergen Institute Discussion Paper 04-030/4
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.
Subjects: 
Risk measures
Additivity
Exponential order
Laplace transform order
Esscher transform
Comonotonicity
JEL: 
D81
G22
Document Type: 
Working Paper

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