Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
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References listed on IDEAS
- 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.
- Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
- 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.
- 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.
- Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
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- 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.
- repec:bla:jrinsu:v:84:y:2017:i:3:p:923-959 is not listed on IDEAS
- 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.
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KeywordsComonotonicity Fréchet bounds Stop-loss bounds Stop-loss ordering;
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