Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

Christian Genest, Étienne Marceau and Mhamed Mesfioui

Statistics & Probability Letters, 2002, vol. 57, issue 1, 33-41

Abstract: Consider non-negative random variables X1,...,Xn whose marginal means and variances are known. The purpose of this paper is to compare two different strategies for finding an upper bound on the stop-loss premium [pi](X1+...+Xn,d)=E{max (0,X1+...+Xn-d)} that are valid for all retention amounts d[greater-or-equal, slanted]0 in the absence of information concerning the type or degree of dependence between the risks Xi. One approach consists of maximizing the premium over all possible values [rho]ij=corr(Xi,Xj), 1[less-than-or-equals, slant]i

Keywords: Comonotonicity; Fréchet; bounds; Stop-loss; bounds; Stop-loss; ordering (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (4)

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