Some classes of multivariate risk measures

Marta Cardin and Elisa Pagani
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Elisa Pagani: University of Verona, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2010, pp 63-73 from Springer

Abstract: Abstract In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. We propose a new kind of stop-loss transform and a related order in the multivariate setting and some equivalent conditions. In our work there is a characterisation of some particular classes of multivariate and bivariate risk measures and a new representation result in a multivariate framework.

Keywords: risk measures; distortion function; concordance measures; stochastic orders (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-1481-7_7

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DOI: 10.1007/978-88-470-1481-7_7

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