Upper stop-loss bounds for sums of possibly dependent risks with given means and variances (Q1613038)
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English | Upper stop-loss bounds for sums of possibly dependent risks with given means and variances |
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Upper stop-loss bounds for sums of possibly dependent risks with given means and variances (English)
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5 September 2002
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The paper compares two different strategies for finding an upper bound on the stop-loss premium, that are valid for all retention amounts in the absence of information concerning the type/degree of dependence between the risks. One approach consists of maximizing the premium over all possible values of correlations, and the other one is based on maximality of comonotonic risks in stop-loss order. Numerical illustrations and explicit calculations are included.
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stop-loss premium
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dependent risks
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