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