IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v57y2002i1p33-41.html
   My bibliography  Save this article

Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

Author

Listed:
  • Genest, Christian
  • Marceau, Étienne
  • Mesfioui, Mhamed

Abstract

Consider non-negative random variables X1,...,Xn whose marginal means and variances are known. The purpose of this paper is to compare two different strategies for finding an upper bound on the stop-loss premium [pi](X1+...+Xn,d)=E{max (0,X1+...+Xn-d)} that are valid for all retention amounts d[greater-or-equal, slanted]0 in the absence of information concerning the type or degree of dependence between the risks Xi. One approach consists of maximizing the premium over all possible values [rho]ij=corr(Xi,Xj), 1[less-than-or-equals, slant]i

Suggested Citation

  • 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.
  • Handle: RePEc:eee:stapro:v:57:y:2002:i:1:p:33-41
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00039-1
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jansen, K. & Haezendonck, J. & Goovaerts, M. J., 1986. "Upper bounds on stop-loss premiums in case of known moments up to the fourth order," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 315-334, October.
    2. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    3. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(02), pages 201-212, November.
    4. Bühlmann, H. & Gagliardi, B. & Gerber, H. U. & Straub, E., 1977. "Some Inequalities for Stop-Loss Premiums," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 9(1-2), pages 75-83, January.
    5. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Frangos, Nikolaos & Karlis, Dimitris, 2004. "Modelling losses using an exponential-inverse Gaussian distribution," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 53-67, August.
    2. repec:bla:jrinsu:v:84:y:2017:i:3:p:923-959 is not listed on IDEAS
    3. Mesfioui, Mhamed & Quessy, Jean-Francois, 2005. "Bounds on the value-at-risk for the sum of possibly dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 135-151, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:57:y:2002:i:1:p:33-41. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.