In this paper, we present a version of the multivariate risk premium for additive risks and the necessary and sufficient conditions to compare global attitudes towards multivariate risk. The link between this risk premium and well-known partial multivariate risk premiums is then investigated.

Taking a benchmark scenario, the current situation in Switzerland, and using a microsimulation technique, we compare the effectiveness of various income maintenance schemes for reducing inequality and poverty. A full negative income tax allowance designed to eliminate poverty, is shown to reduce...

We consider tests or confidence intervals on one of the components of multivariate M-estimates. We obtain marginal tail area approximations for the one-dimensional test statistic based on the appropriate component of the M-estimate for both standardized and Studentized versions. The result is...

In this paper we examine the incidence of poverty and inequality across different States and socio-economic groups in order to get a spatial picture of welfare distribution in India. Our welfare indicator is the money-metric measure of utility represented by the equivalent expenditure...

We discuss some recent (nonparametric) approximations of tail probabilities of marginal distributions. They are based on saddlepoint techniques and have an error of order n-1. We compare their properties both from a theoretical and a computational point of view.

This paper is concerned with the estimation of cointegrated systems with integrated variables of order greater than 1. Unlike the case of I(1) variables, there are various possibilities of cointegration in the higher order case, which were conveniently formulated in a triangular representation...