Comonotonicity and maximal stop-loss premiums

Jan Dhaene · Shaoyu Wang · Virginia R. Young

48 citations0/0 files storedLirias

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

In this paper, we investigate the relationship between comonotonicity and stoploss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari’s (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems in the case of bivariate random variables. We extend their work to an arbitrary sum of random variables and present several examples illustrating our results. 1

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

1987The Dual Theory of Choice under Risk 1996Premium Calculation by Transforming the Layer Premium Density 1996Dependency of Risks and Stop-Loss Order 1990Effective actuarial methods 1998Ordering risks: Expected utility theory versus Yaari's dual theory of risk 1997Stop-loss order for portfolios of dependent risks 1998Comonotonicity, correlation order and premium principles 1997On the dependency of risks in the individual life model

Cited by

2006Optimal allocation of policy limits and deductibles 1999On dependence of risks and stop-loss premiums

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.