Title: Does positive dependence between individual risks increase stop-loss premiums?
Authors: Denuit, M
Dhaene, Jan
Ribas, C
Issue Date: 2000
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0048 pages:1-9
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 dependence known as positive cumulative dependence is larger in convex order than the corresponding sum under the theoretical independence assumption.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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