Does positive dependence between individual risks increase stop-loss premiums?
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Publication:1413265
DOI10.1016/S0167-6687(00)00079-2zbMath1055.91046OpenAlexW2055542463WikidataQ127237908 ScholiaQ127237908MaRDI QIDQ1413265
Carmen Ribas, Michel M. Denuit, Jan Dhaene
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00079-2
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Cites Work
- Comonotonicity, correlation order and premium principles
- On the distribution of a sum of correlated aggregate claims
- A class of bivariate stochastic orderings, with applications in actuarial sciences
- The discrete-time risk model with correlated classes of business
- An easy computable upper bound for the price of an arithmetic Asian option
- The safest dependence structure among risks.
- Convex upper and lower bounds for present value functions
- Upper and lower bounds for sums of random variables
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