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Stochastic Analysis of Duplicates in Life Insurance Portfolios

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  • Denuit, M.
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    Abstract

    The 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 Info

    Paper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 0004.

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    Length: 9 pages
    Date of creation: 2000
    Date of revision:
    Handle: RePEc:fth:louvis:0004

    Contact details of provider:
    Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.

    Related research

    Keywords: ECONOMETRICS ; RISK ; INSURANCE;

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    Cited by:
    1. 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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