schliessen

Filtern

 

Bibliotheken

A comonotonic image of independence for additive risk measures / Marc J. Goovaerts; Rob Kaas; Roger J. A. Laeven; Qihe Tang

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 relat... Full description

PPN (Catalogue-ID): 835162842
Personen: Goovaerts, Marc J.
Kaas, R.
Laeven, Roger J. A.
Tang, Qihe
Format: eBook eBook
Language: English
Published: Rotterdam [u.a.], Tinbergen Inst., 2004
Series: Discussion paper / Tinbergen Institute 4 (2004,030)
Physical Description: Online-Ressource (18 S.)
Technische Details: Systemvoraussetzungen: Acrobat Reader.

Similar Items

Vorhandene Hefte/Bände

more (+)

Informationen zur Verfügbarkeit werden geladen

Staff View
LEADER 02421cam a2200505 4500
001 835162842
003 DE-627
005 20170816023855.0
007 cr uuu---uuuuu
008 150917s2004 xx |||||o 00| ||eng c
024 7 |a 10419/86311  |2 hdl 
035 |a (DE-627)835162842 
035 |a (DE-599)GBV835162842 
035 |a (OCoLC)931979550 
040 |a DE-627  |b ger  |c DE-627  |e rakwb 
041 |a eng 
044 |c XA-NL 
084 |a D81  |a G22  |2 JEL 
245 1 2 |a A comonotonic image of independence for additive risk measures  |c Marc J. Goovaerts; Rob Kaas; Roger J. A. Laeven; Qihe Tang 
264 1 |a Rotterdam [u.a.]  |b Tinbergen Inst.  |c 2004 
300 |a Online-Ressource (18 S.) 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
490 1 |a Discussion paper / Tinbergen Institute  |v 2004,030  |a 4 
520 |a 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. 
538 |a Systemvoraussetzungen: Acrobat Reader. 
700 1 |a Goovaerts, Marc J.  |d 1946-  |0 (DE-588)170324974  |0 (DE-627)060398485  |0 (DE-576)131221442 
700 1 |a Kaas, R.  |0 (DE-588)171299949  |0 (DE-627)06148668X  |0 (DE-576)132104024 
700 1 |a Laeven, Roger J. A. 
700 1 |a Tang, Qihe  |0 (DE-588)136397492  |0 (DE-627)581601726  |0 (DE-576)300999100 
810 2 |a Tinbergen Institute  |t Discussion paper  |v 2004,030  |9 2004003000  |w (DE-627)571610943  |w (DE-576)283869771  |w (DE-600)2435783-2  |x 0929-0834 
856 4 0 |u http://hdl.handle.net/10419/86311  |x Resolving-System  |3 Volltext 
856 4 0 |u http://www.tinbergen.nl/discussionpaper/?paper=490  |x Verlag  |3 Volltext 
856 7 |u 10419/86311  |2 hdl 
912 |a GBV_ILN_26 
912 |a SYSFLAG_1 
912 |a GBV_KXP 
951 |a BO 
980 |2 26  |1 01  |b 1568643594  |f K:  |d DS 432 (2004,30)  |x 0206  |y z1k  |z 17-09-15 
982 |2 26  |1 00  |8 56  |a Risk measures 
982 |2 26  |1 00  |8 56  |a Additivity 
982 |2 26  |1 00  |8 56  |a Exponential order 
982 |2 26  |1 00  |8 56  |a Laplace transform order 
982 |2 26  |1 00  |8 56  |a Esscher transform 
982 |2 26  |1 00  |8 56  |a Comonotonicity