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 withâ€¦ (More)

MARC J. GOOVAERTS, ROB KAAS, ROGER J. A. LAEVEN*, QIHE TANG and RALUCA VERNIC University of Amsterdam, Department of Quantitative Economics, Roetersstraat 11, 1018 WB Amsterdam, The Netherlandsâ€¦ (More)

This paper investigates the asymptotic tail behavior of maxima of a random walk with negative mean and heavy-tailed increment distribution. A simple proof is given to improve the related result in Ngâ€¦ (More)

The paper derives many existing risk measures and premium principles by minimizing a Markov bound for the tail probability. Our approach involves two exogenous functions v(S) and (S,p) and anotherâ€¦ (More)

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measuresâ€¦ (More)

In this paper, we argue that there exists a distinction between risk measures and decision principles. Though both can be regarded as functionals assigning a real number to a random variable, weâ€¦ (More)

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guaranteesâ€¦ (More)

In this paper we present a unified approach to derive many important classes of premium principles, using the Markov inequality for tail probabilities. In addition, we will recall some of theâ€¦ (More)