Some Results on Measures of Interaction between Paired Risks

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 cont...

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Detalhes bibliográficos
Main Authors: Rui Fang, Xiaohu Li
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI AG 2018-08-01
Colecção:Risks
Assuntos:
arrangement increasing
copula
co-risk measure
risk contribution measure
stochastic orders
Acesso em linha:http://www.mdpi.com/2227-9091/6/3/88
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