On dependence of risks and stop-loss premiums
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 3597130 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- An Inequality for Rearrangements
- Comonotonicity and maximal stop-loss premiums
- Multivariate concordance
- On the dependency of risks in the individual life model
- Stop-loss order for portfolios of dependent risks
- Supermodular stochastic orders and positive dependence of random vectors
- The Dual Theory of Choice under Risk
Cited in
(42)- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- From the decompositions of a stopping time to risk premium decompositions
- Tail mutual exclusivity and Tail-VaR lower bounds
- On risk dependence and mrl ordering
- scientific article; zbMATH DE number 849081 (Why is no real title available?)
- Comonotonicity and maximal stop-loss premiums
- Extremal dependence concepts
- Probability weighting, stop-loss and the disposition effect
- Stop-loss order for portfolios of dependent risks
- Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
- Correlation order, merging and diversification
- On transform orders for largest claim amounts
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
- Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
- Stochastic bounds on sums of dependent risks
- Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
- Ordering ruin probabilities for dependent claim streams.
- Some results on ruin probabilities in a two-dimensional risk model.
- CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Stop-loss premiums under dependence
- Multivariate insurance models: an overview
- Generalized correlation order and stop-loss order
- Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Ordering results for individual risk model with dependent Location-Scale claim severities
- Asset proportions in optimal portfolios with dependent default risks
- Empirical investigation of insurance claim dependencies using mixture models
- Pairwise counter-monotonicity
- The safest dependence structure among risks.
- Stochastic Bounds for Discrete-time Claim Processes with Correlated Risks
- Does positive dependence between individual risks increase stop-loss premiums?
- On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
- Comparison results for exchangeable credit risk portfolios
- Measuring the impact of dependence between claims occurrences.
- On two dependent individual risk models.
- Optimal dividend payments for a two-dimensional insurance risk process
- A comparison between homogeneous and heterogeneous portfolios.
- Bounds on stop-loss premiums and ruin probabilities
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