Commotonicity, correlation order and premium principles
AbstractIn this paper, we investigate the notion of dependency between risks and its effect on the related stop-loss premiums. The concept of comonotonicity, being an extreme case of dependency, is discussed in detail. For the bivariate case, it is shown that, given the distributions of the individual risks, comonotonicity leads to maximal stop-loss premius. Some properties of stop-loss order preserving premium principles are considered. A simple proof is given for the sub-additivity property of Wang's premium principle.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/118592.
Date of creation: 1997
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Web page: http://www.kuleuven.be
Comonotonicity; Correlation order; Dependency; Distribution; Premium principle; Principles; Risk; Stop-loss premium;
Other versions of this item:
- Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
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.:
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Dhaene, Jan & Goovaerts, Marc, 1996.
"Dependency of risks and stop-loss order,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/200183, Katholieke Universiteit Leuven.
- Dhaene, Jan & Goovaerts, Marc, 1995. "Dependency of risks and stop-loss order," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118672, Katholieke Universiteit Leuven.
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