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.

Some classes of multivariate risk measures

PAGANI, Elisa
2010

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.
9788847014800
Risk measures; distortion function; concordance order; concordance measure
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/391662
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