Generalized correlation order and stop-loss order

DOI10.1016/J.INSMATHECO.2004.04.003MaRDI QIDQ1888894zbMATH OpenOpenAlexFDO

Authors Tong-Yu Lu, Zhang Yi

Publication date 29 November 2004

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.04.003

zbMATH Keywords

correlation orderpremium principlestop-loss orderdependency of risksorthant order

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On the correlation order
• Comonotonicity, correlation order and premium principles
• Comonotonicity and maximal stop-loss premiums
• scientific article; zbMATH DE number 3850336
• On dependence of risks and stop-loss premiums

Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• Comonotonicity and maximal stop-loss premiums
• Comonotonicity, correlation order and premium principles
• Does positive dependence between individual risks increase stop-loss premiums?
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Negative association of random variables, with applications
• Stop-loss order for portfolios of dependent risks
• The safest dependence structure among risks.

Cited in

(8)

• Two sufficient conditions for convex ordering on risk aggregation
• On the correlation order
• Correlation order, merging and diversification
• A further study on correlation order
• The credibility premiums for models with dependence induced by common effects
• Credibility models with dependence structure over risks and time horizon
• The credibility estimator with general dependence structure over risks
• Living on the edge: an unified approach to antithetic sampling

This page was built for publication: Generalized correlation order and stop-loss order

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1888894)