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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Bibliografische gegevens
Hoofdauteurs: Rui Fang, Xiaohu Li
Formaat: Artigo
Taal:Inglês
Gepubliceerd in: MDPI AG 2018-08-01
Reeks:Risks
Onderwerpen:
arrangement increasing
copula
co-risk measure
risk contribution measure
stochastic orders
Online toegang:http://www.mdpi.com/2227-9091/6/3/88
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