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Does positive dependence between individual risks increase stop-loss premiums?

  • Denuit, Michel
  • Dhaene, Jan
  • Ribas, Carmen

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File URL: http://www.sciencedirect.com/science/article/B6V8N-439VCBC-2/2/79565652f6d25f2a619769c7cefb5d65
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 28 (2001)
Issue (Month): 3 (June)
Pages: 305-308

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Handle: RePEc:eee:insuma:v:28:y:2001:i:3:p:305-308
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed, 1999. "A class of bivariate stochastic orderings, with applications in actuarial sciences," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 31-50, March.
  2. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
  3. Ambagaspitiya, Rohana S., 1998. "On the distribution of a sum of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 15-19, October.
  4. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
  5. Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 175-183, May.
  6. 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.
  7. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
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