登入選單

返回Google圖書搜尋

Some New Classes of Consistent Risk Measures

Marc Goovaerts

出版	SSRN, 2010
URL	http://books.google.com.hk/books?id=7_bpzgEACAAJ&hl=&source=gbs_api

註釋

Many types of insurance premium principles and/or risk measures can be characterized by means of a set of axioms, which in many cases are rather arbitrarily chosen and not always in accordance with economic reality. In the present paper we gener alize Yaari's risk measure by relaxing his axioms. In addition, we derive translation invariant minimal Orlicz risk measures, which we call Haezendonck risk measures, and obtain sufficient conditions on the risk measure of Bernoulli risks to fulfill additivityand superadditivity properties for Orlicz premium principles.