In actuarial literature the properties of risk measures have been extensively studied. We propose a new kind of stop-loss transform and arelated order in a multivariate setting and some equivalent conditions. In our work there is acharacterization of some particular classes of risk measures and a new representation result in a multivariate framework.
Some classes of multivariate risk measures
CARDIN, Marta;
2010-01-01
Abstract
In actuarial literature the properties of risk measures have been extensively studied. We propose a new kind of stop-loss transform and arelated order in a multivariate setting and some equivalent conditions. In our work there is acharacterization of some particular classes of risk measures and a new representation result in a multivariate framework.
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