Mathematical and Statistical Methods for Actuarial Sciences and Finance

64 M. Cardin and E. Pagani A risk measure, or a premium principle, is the functionalR:X→R ̃,whereX is a set of non-negative rand ...

Some classes of multivariate risk measures 65 We now introduce the concept ofFr ́ echet space:Rdenotes theFr ́ echet space given ...

66 M. Cardin and E. Pagani concavity: ifgis a concave function, then we have thatg(a+c)−g(a)≥g(b+c)− g(b)witha≤bandc≥0. We apply ...

Some classes of multivariate risk measures 67 In the same way we can define the vector Conditional Value at Risk: Definition 6.L ...

68 M. Cardin and E. Pagani We recall here that if 0≤xi<VaRXi,orFXi<pi,thenFX<mini{pi}, while ifxi ≥VaRXiorFXi ≥ pithenF ...

Some classes of multivariate risk measures 69 Under independence hypothesis we can rewrite CVaR in this manner: CV aR[X;p]=VaRX ...

70 M. Cardin and E. Pagani Now we consider the dihedral groupD 4 of the symmetries on the square [0,1]^2 .We haveD 4 ={e,r,r^2 , ...

Some classes of multivariate risk measures 71 It is clear that concordance affects this measure, and in general we know that con ...

72 M. Cardin and E. Pagani We can note that our PSP is not always subadditive; in fact, if we take the non- negative vectorsX,Y∈ ...

Some classes of multivariate risk measures 73 References Balbas, A., Guerra, P.J.: Generalized vector risk functions. Working P ...

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Assessing risk perception by means of ordinal models Paola Cerchiello, Maria Iannario, and Domenico Piccolo Abstract.This paper ...

76 P. Cerchiello, M. Iannario, and D. Piccolo [22]. However, there is no consensus on the relationship between personality and r ...

Assessing risk perception by means of ordinal models 77 D’Elia and Piccolo [8]) and we useCUBmodels when we relate the responses ...

78 P. Cerchiello, M. Iannario, and D. Piccolo In fact, better solutions are obtained when we introducecovariatesfor relating bot ...

Assessing risk perception by means of ordinal models 79 The study focused on the blue-collar population of six different departm ...

80 P. Cerchiello, M. Iannario, and D. Piccolo 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.0 0.2 0.4 0.6 0.8 1.0 DANGER Degree pai estimates cs ...

Assessing risk perception by means of ordinal models 81 In Table 1 we list the estimation of parameters of aCUB(0,3) with gender ...

82 P. Cerchiello, M. Iannario, and D. Piccolo Men without serious injuriesMen with serious injuries Women without serious injuri ...

Assessing risk perception by means of ordinal models 83 Corduas, M.: A study on university students’ opinions about teaching qu ...