Generalized correlation order and stop-loss order

DOI10.1016/j.insmatheco.2004.04.003zbMath1283.91088OpenAlexW2005604422MaRDI QIDQ1888894

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 orderstop-loss orderpremium principledependency of risksorthant order

Mathematics Subject Classification ID

Related Items (6)

Two sufficient conditions for convex ordering on risk aggregation ⋮ The Credibility Estimator with General Dependence Structure Over Risks ⋮ A further study on correlation order ⋮ On the correlation order ⋮ Credibility models with dependence structure over risks and time horizon ⋮ The credibility premiums for models with dependence induced by common effects

Cites Work

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• Comonotonicity, correlation order and premium principles
• Stop-loss order for portfolios of dependent risks
• Does positive dependence between individual risks increase stop-loss premiums?
• Negative association of random variables, with applications
• The safest dependence structure among risks.
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios

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