A comonotonic image of independence for additive risk measures

DOI10.1016/j.insmatheco.2004.07.005zbMath1122.91341OpenAlexW2123003783MaRDI QIDQ2485529

Roger J. A. Laeven, Qi-he Tang, Rob Kaas, Marc J. Goovaerts

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/04030.pdf

zbMATH Keywords

Esscher transformRisk measuresLaplace transform orderComonotonicityAdditivityExponential order

Mathematics Subject Classification ID

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Cites Work

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• Sulla rappresentazione di funzionali mediante integrali
• Properties of the Esscher premium calculation principle
• Non-additive measure and integral
• The concept of comonotonicity in actuarial science and finance: theory.
• Laplace transform ordering of actuarial quantities.
• The concept of comonotonicity in actuarial science and finance: applications.
• Subjective Probability and Expected Utility without Additivity
• On the representation of additive principles of premium calculation
• On Characterization of Distortion Premium Principle
• A Unified Approach to Generate Risk Measures
• The Dual Theory of Choice under Risk

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