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Dependency of Risks and Stop-Loss Order1

Published online by Cambridge University Press:  29 August 2014

Jan Dhaene  and
Marc J. Goovaerts
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Abstract

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The correlation order, which is defined as a partial order between bivariate distributions with equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness of portfolios with pairwise dependencies. Given the distribution functions of the individual risks, it is investigated how changing the dependency assumption influences the stop-loss premiums of such portfolios.

Keywords

Dependent risksBivariate distributionsCorrelation orderStop-loss order
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 26 , Issue 2 , November 1996 , pp. 201 - 212
Copyright
Copyright © International Actuarial Association 1996

Footnotes

2

Work performed under grant OT/93/5 of Onderzoeksfonds K.U.Leuven

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