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Some Results on Measures of Interaction between Paired Risks

Author

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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)

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.

Suggested Citation

  • Rui Fang & Xiaohu Li, 2018. "Some Results on Measures of Interaction between Paired Risks," Risks, MDPI, vol. 6(3), pages 1-15, August.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:3:p:88-:d:166067
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    References listed on IDEAS

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    Cited by:

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    4. Xun, Li & Jiang, Renqiao & Guo, Jianhua, 2021. "The conditional Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 169(C).

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