Title: Commotonicity and maximum stop-loss premiums
Authors: Dhaene, Jan
Wang, S
Young, V
Goovaerts, Marc
Issue Date: 1997
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 9730 pages:1-16
Abstract: 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.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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