Comonotonicity, correlation order and premium principles

DOI10.1016/S0167-6687(97)00040-1zbMath0909.62110OpenAlexW2131560757MaRDI QIDQ1265937

Publication date: 8 April 1999

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00040-1

zbMATH Keywords

comonotonicity dependency premium principles correlation order stop-loss premiums

Mathematics Subject Classification ID

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

Related Items

Upper stop-loss bounds for sums of possibly dependent risks with given means and variances, Insights to systematic risk and diversification across a joint probability distribution, On quantile based co-risk measures and their estimation, Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals, Generalized correlation order and stop-loss order, Bregman superquantiles. Estimation methods and applications, Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks, Premiums and reserves, adjusted by distortions, A modified functional delta method and its application to the estimation of risk functionals, Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability, Approximations for stop-loss reinsurance premiums, A concept of copula robustness and its applications in quantitative risk management, The concept of comonotonicity in actuarial science and finance: theory., Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making, Optimal reinsurance policy under a new distortion risk measure, On cumulative Tsallis entropies, Weighted-mean regions of a probability distribution, Generalized PELVE and applications to risk measures, Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses, Seven proofs for the subadditivity of expected shortfall, Does positive dependence between individual risks increase stop-loss premiums?, On two dependent individual risk models., A rank-dependent generalization of zero utility principle., Compound Poisson approximations for individual models with dependent risks., Comonotonic processes, Choquet pricing and equilibrium., Skew-elliptical distributions with applications in risk theory, Rates of almost sure convergence of plug-in estimates for distortion risk measures, The connection between distortion risk measures and ordered weighted averaging operators, The hurdle-race problem., The safest dependence structure among risks., Optimal insurance under Wang's premium principle., Sensitivity of risk measures with respect to the normal approximation of total claim distributions, Correlation order, merging and diversification, Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders, Static super-replicating strategies for a class of exotic options, Comonotonic convex upper bound and majorization, Modeling Catastrophes and their Impact on Insurance Portfolios, Bi-cooperative games with fuzzy bi-coalitions, Ordering optimal proportions in the asset allocation problem with dependent default risks, Coherent risk measures, Dynamic capital allocation with distortion risk measures, Conditional comonotonicity, A new characterization of distortion premiums via countable additivity for comonotonic risks, Upper and lower bounds for sums of random variables, Minimax pricing and Choquet pricing, Some limiting properties of the bounds of the present value function of a life insurance portfolio, Nonmonotonic Choquet integrals, Optimal portfolio problem with unknown dependency structure, GlueVaR risk measures in capital allocation applications, Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios, Optimal risk allocation in reinsurance networks, The use of flexible quantile-based measures in risk assessment, On inequalities for moments and the covariance of monotone functions, Worst VaR scenarios with given marginals and measures of association, Asymptotics for statistical functionals of long-memory sequences, An easy computable upper bound for the price of an arithmetic Asian option, Joint probability generating function for a vector of arbitrary indicator variables, Risk Measures and Comonotonicity: A Review, Stop-loss premiums under dependence, Supermodular ordering and stochastic annuities, Stochastic Bounds for Discrete-time Claim Processes with Correlated Risks

Cites Work