Dependency of Risks and Stop-Loss Order1

Jan Dhaene and Marc Goovaerts

ASTIN Bulletin, 1996, vol. 26, issue 2, 201-212

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.

Date: 1996
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