Multivariate Risk Premium and its Relation to Partial Multivariate Risk Premiums

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.

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Year of publication:	1998
Authors:	Courbage, C.
Institutions:	Institut d'Economie et Econométrie, Université de Genève
Subject:	RISK

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Series:	Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
Type of publication:	Book / Working Paper
Notes:	11 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687137