K.U.Leuven - Departement Toegepaste Economische Wetenschappen
DTEW Research Report 9730 pages:1-16
In this paper, we investigate the relationship between comonotonicity and stop-loss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems in the case of bivariate random variables. We extend their work to an arbitrary sum of random variables and present several examples illustrating our results.