Advanced Search
MyIDEAS: Login to save this article or follow this journal

Upper stop-loss bounds for sums of possibly dependent risks with given means and variances


Author Info

  • Genest, Christian
  • Marceau, Étienne
  • Mesfioui, Mhamed
Registered author(s):


    Consider non-negative random variables X1,...,Xn whose marginal means and variances are known. The purpose of this paper is to compare two different strategies for finding an upper bound on the stop-loss premium [pi](X1+...+Xn,d)=E{max (0,X1+...+Xn-d)} that are valid for all retention amounts d[greater-or-equal, slanted]0 in the absence of information concerning the type or degree of dependence between the risks Xi. One approach consists of maximizing the premium over all possible values [rho]ij=corr(Xi,Xj), 1[less-than-or-equals, slant]i

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 57 (2002)
    Issue (Month): 1 (March)
    Pages: 33-41

    as in new window
    Handle: RePEc:eee:stapro:v:57:y:2002:i:1:p:33-41

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Comonotonicity Fréchet bounds Stop-loss bounds Stop-loss ordering;


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Jansen, K. & Haezendonck, J. & Goovaerts, M. J., 1986. "Upper bounds on stop-loss premiums in case of known moments up to the fourth order," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 315-334, October.
    2. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    3. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Frangos, Nikolaos & Karlis, Dimitris, 2004. "Modelling losses using an exponential-inverse Gaussian distribution," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 53-67, August.
    2. Mesfioui, Mhamed & Quessy, Jean-Francois, 2005. "Bounds on the value-at-risk for the sum of possibly dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 135-151, August.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:57:y:2002:i:1:p:33-41. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.