Title: Risk measures and comonotonicity: A review
Authors: Dhaene, Jan ×
Vanduffel, Steven
Goovaerts, Marc
Kaas, R
Tang, Q
Vyncke, D #
Issue Date: 2006
Publisher: Taylor & francis inc
Series Title: Stochastic models vol:22 issue:4 pages:573-606
Abstract: In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. Furthermore we consider the problem of how to evaluate risk measures for sums of non-independent random variables. Approximations for such sums, based on the concept of comonotonicity, are proposed. Several examples are provided to illustrate properties or to prove that certain properties do not hold. Although the paper contains several new results, it is written as an overview and pedagogical introduction to the subject of risk measurement. The paper is an extended version of Dhaene et al.([11]).
ISSN: 1532-6349
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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