Some classes of multivariate risk measures

被引：0

作者：

Cardin, Marta ^{[1
]}

Pagani, Elisa ^{[2
]}

机构：

[1] Univ Ca Foscari Venice, Dept Appl Math, Venice, Italy

[2] Univ Verona, Dept Econ, I-37100 Verona, Italy

来源：

MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE | 2010年

关键词：

risk measures; distortion function; concordance measures; stochastic orders;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：63 / +

页数：2

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