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The concept of comonotonicity in actuarial science and finance: theory

  • Dhaene, J.
  • Denuit, M.
  • Goovaerts, M. J.
  • Kaas, R.
  • Vyncke, D.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-46WW9T1-3/2/d2aff817193f52020b657f96851b0044
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 31 (2002)
Issue (Month): 1 (August)
Pages: 3-33

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Handle: RePEc:eee:insuma:v:31:y:2002:i:1:p:3-33
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. 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.
  2. 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.
  3. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
  4. 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.
  5. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
  6. Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
  7. Goovaerts, Marc & Redant, Hendrik, 1999. "On the distribution of IBNR reserves," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 1-9, September.
  8. Denuit, Michel & Dhaene, Jan & Ribas, Carmen, 2001. "Does positive dependence between individual risks increase stop-loss premiums?," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 305-308, June.
  9. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
  10. Cossette, Helene & Denuit, Michel & Marceau, Etienne, 2000. "Impact of dependence among multiple claims in a single loss," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 213-222, May.
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