Stochastic Analysis of Duplicates in Life Insurance Portfolios
AbstractThe aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.
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Bibliographic InfoPaper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 0004.
Length: 9 pages
Date of creation: 2000
Date of revision:
Contact details of provider:
Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.
ECONOMETRICS ; RISK ; INSURANCE;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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- Carmen Ribas Mari & Antonio Alegre Escolano, 2002. "The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure," Working Papers in Economics 90, Universitat de Barcelona. Espai de Recerca en Economia.
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