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Some Results on Measures of Interaction between Paired Risks

Rui Fang () and Xiaohu Li ()
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Rui Fang: Department of Mathematics, Shantou University, Shantou 515063, China
Xiaohu Li: Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA

Risks, 2018, vol. 6, issue 3, 1-15

Abstract: Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.

Keywords: arrangement increasing; copula; co-risk measure; risk contribution measure; stochastic orders (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2018
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