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Stop-loss order for portfolios of dependent risks

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Cited by:

  1. Lu, Tong-Yu & Yi, Zhang, 2004. "Generalized correlation order and stop-loss order," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 69-76, August.
  2. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
  3. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
  4. Wei, Gang & Hu, Taizhong, 2002. "Supermodular dependence ordering on a class of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 375-385, May.
  5. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
  6. Zhang, Jianjun & Qiu, Chunjuan & Wu, Xianyi, 2018. "Bayesian ratemaking with common effects modeled by mixture of Polya tree processes," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 87-94.
  7. Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
  8. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
  9. Dong, Jing & Cheung, Ka Chun & Yang, Hailiang, 2010. "Upper comonotonicity and convex upper bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 159-166, October.
  10. Volij, Oscar, 2002. "Payoff equivalence in sealed bid auctions and the dual theory of choice under risk," Economics Letters, Elsevier, vol. 76(2), pages 231-237, July.
  11. Hu, Taizhong & Wu, Zhiqiang, 1999. "On dependence of risks and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 323-332, May.
  12. Bauerle, Nicole, 2002. "Risk management in credit risk portfolios with correlated assets," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 187-198, April.
  13. Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
  14. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
  15. Frostig, Esther, 2001. "A comparison between homogeneous and heterogeneous portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 59-71, August.
  16. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
  17. Cheung, Ka Chun, 2010. "Comonotonic convex upper bound and majorization," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 154-158, October.
  18. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
  19. Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
  20. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
  21. Marta Cardin & Elisa Pagani, 2008. "Some proposals about multivariate risk measurement," Working Papers 165, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  22. Kızıldemir, Bünyamin & Privault, Nicolas, 2015. "Supermodular ordering of Poisson arrays," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 136-143.
  23. Belzunce, Félix & Ruiz, José M. & Suárez-Llorens, Alfonso, 2008. "On multivariate dispersion orderings based on the standard construction," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 271-281, February.
  24. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
  25. Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
  26. Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
  27. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
  28. Yi, Zhang & Weng, Chengguo, 2006. "On the correlation order," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1410-1416, July.
  29. Dhaene, Jan & Denuit, Michel & Vanduffel, Steven, 2009. "Correlation order, merging and diversification," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 325-332, December.
  30. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
  31. Denuit, Michel, 2001. "Laplace transform ordering of actuarial quantities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 83-102, August.
  32. Belzunce, Felix & Ortega, Eva-Maria & Pellerey, Franco & Ruiz, Jose M., 2006. "Variability of total claim amounts under dependence between claims severity and number of events," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 460-468, June.
  33. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
  34. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
  35. Hu, Taizhong & Pan, Xiaoming, 1999. "Preservation of multivariate dependence under multivariate claim models," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 171-179, November.
  36. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
  37. Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
  38. Balakrishnan, Narayanaswamy & Belzunce, Félix & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 45-54.
  39. Amiri, Mehdi & Izadkhah, Salman & Jamalizadeh, Ahad, 2020. "Linear orderings of the scale mixtures of the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
  40. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
  41. Zhang, Yiying & Cheung, Ka Chun, 2020. "On the increasing convex order of generalized aggregation of dependent random variables," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 61-69.
  42. Muller, Alfred & Pflug, Georg, 2001. "Asymptotic ruin probabilities for risk processes with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 381-392, June.
  43. Kulik, Rafal & Szekli, Ryszard, 2005. "Dependence orderings for some functionals of multivariate point processes," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 145-173, January.
  44. Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
  45. Wen, Limin & Wu, Xianyi & Zhou, Xian, 2009. "The credibility premiums for models with dependence induced by common effects," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 19-25, February.
  46. Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M., 2008. "Static super-replicating strategies for a class of exotic options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1067-1085, June.
  47. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
  48. Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R., 2003. "The hurdle-race problem," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 405-413, October.
  49. Genest, Christian & Marceau, Étienne & Mesfioui, Mhamed, 2002. "Upper stop-loss bounds for sums of possibly dependent risks with given means and variances," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 33-41, March.
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