Title: Does positive dependence between individual risks increase stop-loss premiums?
Authors: Denuit, M ×
Dhaene, Jan
Ribas, C #
Issue Date: Jun-2001
Publisher: Elsevier science bv
Series Title: Insurance: Mathematics & Economics vol:28 issue:3 pages:305-308
Abstract: Actuaries intuitively feel that positive correlations between individual risks reveal a more dangerous situation compared to independence. The purpose of this short note is to formalize this natural idea. Specifically, it is shown that the sum of risks exhibiting a weak form of positive dependence known as positive cumulative dependence is larger in convex order than the corresponding sum under the theoretical independence assumption. (C) 2001 Elsevier Science B.V. All rights reserved.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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