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Some classes of multivariate risk measures

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Marta Cardin

    (University Ca’ Foscari Venice, Department of Applied Mathematics)

  • Elisa Pagani

    (University of Verona, Department of Economics)

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.

Suggested Citation

  • Marta Cardin & Elisa Pagani, 2010. "Some classes of multivariate risk measures," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 63-73, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-1481-7_7
    DOI: 10.1007/978-88-470-1481-7_7
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