A comonotonic image of independence for additive risk measures

Insurance: Mathematics and Economics

Volumn 35, Issue 3, 2004, Pages 581-594

  Goovaerts, Marc J ^a,b   Kaas, Rob ^a   Laeven, Roger J A ^a   Tang, Qihe ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

Additivity; Comonotonicity; Esscher transform; Exponential order; Laplace transform order; Risk measures

Indexed keywords

EID: 10144224234     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.07.005     Document Type: Article

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