K.U.Leuven - Departement Toegepaste Economische Wetenschappen
DTEW Research Report 0048 pages:1-9
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.