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Dependency of Risks and Stop-Loss Order1

Abstract
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.

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Work performed under grant OT/93/5 of Onderzoeksfonds K.U.Leuven

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This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

R. Aboudi and D. Thon (1993). Expected utility and the Siegel paradox: a generalisation. Journal of Economics 57(1), 6993.

R. Aboudi and D. Thon (1995). Second degree stochastic dominance decisions and random initial wealth with applications to the economics of insurance. Journal of Risk and Insurance 62(1), 3049.

S. Cambanis ; G. Simons and W. Stout (1976). Inequalities for Ek(X, Y) when marginals are fixed. Zeitschrift fur Wahrscheinlichkeitstheorie und verwandte Gebiete 36, 285294.

E. Lehman (1966). Some concepts of dependence. Annals of Mathematical Statistics 37, 11371153.

H. Levy J. Andparoush (1974). Toward multivariate efficiency criteria. Journal of Economic Theory 7, 129142.

I. Meilijson and A. Nadas (1979). Convex majorization with an application to the length of critical paths. Journal of Applied Probability 16, 671677.

A. Tchen (1980). Inequalities for distributions with given marginals. Annals of Probability 8, 814827.

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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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