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Stochastic Analysis of Duplicates in Life Insurance Portfolios


  • Denuit, M.


The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

Suggested Citation

  • Denuit, M., 2000. "Stochastic Analysis of Duplicates in Life Insurance Portfolios," Papers 0004, Catholique de Louvain - Institut de statistique.
  • Handle: RePEc:fth:louvis:0004

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    References listed on IDEAS

    1. Leopold Simar & Paul Wilson, 2000. "A general methodology for bootstrapping in non-parametric frontier models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(6), pages 779-802.
    2. Wheelock, David C & Wilson, Paul W, 1995. "Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(4), pages 689-700, November.
    3. Kneip, Alois & Park, Byeong U. & Simar, L opold, 1998. "A Note On The Convergence Of Nonparametric Dea Estimators For Production Efficiency Scores," Econometric Theory, Cambridge University Press, vol. 14(06), pages 783-793, December.
    4. Simar, Leopold & Wilson, Paul W., 1999. "Estimating and bootstrapping Malmquist indices," European Journal of Operational Research, Elsevier, vol. 115(3), pages 459-471, June.
    5. Léopold Simar & Paul W. Wilson, 1998. "Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models," Management Science, INFORMS, vol. 44(1), pages 49-61, January.
    6. Gary Ferrier & Joseph Hirschberg, 1997. "Bootstrapping Confidence Intervals for Linear Programming Efficiency Scores: With an Illustration Using Italian Banking Data," Journal of Productivity Analysis, Springer, vol. 8(1), pages 19-33, March.
    7. Rajiv D. Banker, 1993. "Maximum Likelihood, Consistency and Data Envelopment Analysis: A Statistical Foundation," Management Science, INFORMS, vol. 39(10), pages 1265-1273, October.
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    Cited by:

    1. Carmen Ribas Mari & Antonio Alegre Escolano, 2002. "The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure," Working Papers in Economics 90, Universitat de Barcelona. Espai de Recerca en Economia.

    More about this item



    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty


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