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Risks 2018, 6(3), 88; https://doi.org/10.3390/risks6030088

Some Results on Measures of Interaction between Paired Risks

1
Department of Mathematics, Shantou University, Shantou 515063, China
2
Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA
*
Author to whom correspondence should be addressed.
Received: 2 August 2018 / Revised: 24 August 2018 / Accepted: 27 August 2018 / Published: 27 August 2018
(This article belongs to the Special Issue Heavy-Tail Phenomena in Insurance, Finance, and Other Related Fields)
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Abstract

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 contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings. View Full-Text
Keywords: arrangement increasing; copula; co-risk measure; risk contribution measure; stochastic orders arrangement increasing; copula; co-risk measure; risk contribution measure; stochastic orders
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Fang, R.; Li, X. Some Results on Measures of Interaction between Paired Risks. Risks 2018, 6, 88.

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