Title: Commotonicity, correlation order and premium principles
Authors: Wang, S
Dhaene, Jan
Issue Date: 1997
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 9721 pages:1-17
Abstract: In this paper, we investigate the notion of dependency between risks and its effect on the related stop-loss premiums. The concept of comonotonicity, being an extreme case of dependency, is discussed in detail. For the bivariate case, it is shown that, given the distributions of the individual risks, comonotonicity leads to maximal stop-loss premius. Some properties of stop-loss order preserving premium principles are considered. A simple proof is given for the sub-additivity property of Wang's premium principle.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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