A comonotonic image of independence for additive risk measures
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Publication:2485529
DOI10.1016/J.INSMATHECO.2004.07.005zbMATH Open1122.91341OpenAlexW2123003783MaRDI QIDQ2485529FDOQ2485529
Authors: Roger J. A. Laevent, Marc J. Goovaerts, Rob Kaas, Qihe Tang 
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
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Cited In (35)
- The distortion principle for insurance pricing: properties, identification and robustness
- On the Pollatsek-Tversky theorem on risk
- Behavioral premium principles
- A note on weighted premium calculation principles
- Worst case risk measurement: back to the future?
- Decision principles derived from risk measures
- Entropic value-at-risk: a new coherent risk measure
- Optimal reinsurance with general risk measures
- An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
- Robust portfolio choice and indifference valuation
- Capital requirements, risk measures and comonotonicity
- Robust optimal risk sharing and risk premia in expanding pools
- Tests for Laplace order dominance with applications to insurance data
- On option pricing under a completely random measure via a generalized Esscher transform
- Actuarial risk measures for financial derivative pricing
- Pricing insurance contracts under cumulative prospect theory
- Representation results for law invariant time consistent functions
- The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
- Determination of risk pricing measures from market prices of risk
- Weighted premium calculation principles
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
- A hidden Markov regime-switching model for option valuation
- Optimal risk sharing with different reference probabilities
- Expected utility and catastrophic consumption risk
- Optimal investment with risk controlled by weighted entropic risk measures
- Weighted risk capital allocations
- A note on additive risk measures in rank-dependent utility
- Esscher transforms and consumption-based models
- Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Optimal risk transfer for agents with germs
- A note on the induction of comonotonic additive risk measures from acceptance sets
- A new characterization of distortion premiums via countable additivity for comonotonic risks
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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