SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial mathematics...

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1,X2, . . .,Xn) with given marginals has a comonotonic joint distribution, the sum X1 + X2 + middot; middot; middot; + Xn is the largest possible in convex order. In this note we give a...