Title: Dependency of risks and stop-loss order
Authors: Dhaene, Jan
Goovaerts, Marc
Issue Date: 1995
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 9545 pages:1-18
Abstract: 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.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

Files in This Item:
File Status SizeFormat
OR_9545.pdf Published 270KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.