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.
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Cardin, M., Pagani, E. (2010). Some classes of multivariate risk measures. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-1481-7_7
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DOI: https://doi.org/10.1007/978-88-470-1481-7_7
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1480-0
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