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04-030/4 - A Comonotonic Image of Independence for Additive Risk Measures


  • Authors
    Marc J. Goovaerts, Faculty of Economics and Econometrics, Universiteit van Amsterdam, and Cath. University of Leuven, Center for Risk and Insurance Studies; Rob Kaas, Faculty of Economics and Econometrics, Universiteit van Amsterdam; Roger J.A. Laeven, Faculty of Economics and Econometrics, Universiteit van Amsterdam; Qihe Tang, Faculty of Economics and Econometrics, Universiteit van Amsterdam
  • Publication date
    March 15, 2004
  • Keywords
    Risk measures; Additivity; Exponential order; Laplace transform order; Esscher transform; Comonotonicity
  • JEL
    D81; G22