Showing 1 - 10 of 77
There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each...
Persistent link: https://www.econbiz.de/10005076137
In this paper we present the extension of the copula approach to aggregation functions. In fact we want to focus on a class of aggregation functions and present them in the multilinear form with marginal copulae. Moreover, we define the joint aggregation density function.
Persistent link: https://www.econbiz.de/10005756580
In this paper a set of desirable properties for measures of positive dependence of ordered n-tuples of continuous random variables (n = 2) is proposed and a class of multivariate positive dependence measures is introduced. We consider the comonotonicity dependence structure as the strong...
Persistent link: https://www.econbiz.de/10005076139
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures,...
Persistent link: https://www.econbiz.de/10005076146
This paper deals with non-monotonic Choquet integral, a generalization of the regular Choquet integral. The discrete non-monotonic Choquet integral is considered under the viewpoint of aggregation. In particular we give an axiomatic characterization of the class of non-monotonic Choquet...
Persistent link: https://www.econbiz.de/10005819660
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. In our work we propose a characterization of some particular classes of multivariate and bivariate risk measures. Given two random variables we can define an univariate integral...
Persistent link: https://www.econbiz.de/10005756577
In this short note, we aim at a qualitative framework for modeling multivariate risk. To this extent, we consider completely distributive lattices as underlying universes, and make use of lattice functions to formalize the notion of risk measure. Several properties of risk measures are...
Persistent link: https://www.econbiz.de/10008678245
Persistent link: https://www.econbiz.de/10005622625
The properties of risk measures or insurance premium principles have been extensively studied in actuarial literature. We propose an axiomatic description of a particular class of coherent risk measures defined in Artzner, Delbaen, Eber, and Heath (1999). The considered risk measures are...
Persistent link: https://www.econbiz.de/10005550970
In this paper non-monotonic measures and their properties are considered and described. Subsequently we study discrete non-monotonic Choquet integral under the viewpoint of aggregation, and its axiomatic characterization. Moreover, we show that for non-monotonic measures the Shapley index can...
Persistent link: https://www.econbiz.de/10005698421