The safest dependence structure among risks.

DOI10.1016/S0167-6687(99)00009-8zbMath1072.62651OpenAlexW2156627315MaRDI QIDQ1962812

Jan Dhaene, Michel M. Denuit

Publication date: 30 March 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00009-8

Mathematics Subject Classification ID

Related Items (61)

Supermodular Order and Lundberg Exponents ⋮ Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Generalized correlation order and stop-loss order ⋮ Diversification of aggregate dependent risks ⋮ Bernoulli and tail-dependence compatibility ⋮ Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes ⋮ On multivariate countermonotonic copulas and their actuarial application ⋮ Joint Mixability ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Two sufficient conditions for convex ordering on risk aggregation ⋮ Optimal insurance design in the presence of exclusion clauses ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ General convex order on risk aggregation ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ Optimal insurance design under Vajda condition and exclusion clauses ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Diversification quotients based on VaR and ES ⋮ Pairwise counter-monotonicity ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ Does positive dependence between individual risks increase stop-loss premiums? ⋮ A comparison between homogeneous and heterogeneous portfolios. ⋮ Laplace transform ordering of actuarial quantities. ⋮ Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals. ⋮ Measuring the impact of dependence between claims occurrences. ⋮ On the accumulated aggregate surplus of a life portfolio. ⋮ Copula convergence theorems for tail events. ⋮ Ordering ruin probabilities for dependent claim streams. ⋮ On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies ⋮ Some results on ruin probabilities in a two-dimensional risk model. ⋮ Aggregating Risks with Partial Dependence Information ⋮ Multivariate insurance models: an overview ⋮ Convex order and comonotonic conditional mean risk sharing ⋮ Current open questions in complete mixability ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Using fuzzy logic to interpret dependent risks ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ Dependent Insurance Risk Model: Deterministic Threshold ⋮ Shuffle of min’s random variable approximations of bivariate copulas’ realization ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks ⋮ On risk dependence and mrl ordering ⋮ Actuarial comparisons for aggregate claims with randomly right-truncated claims ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Lundberg parameters for non standard risk processes ⋮ Upper and lower bounds for sums of random variables ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors ⋮ Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach ⋮ Extremal dependence concepts ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ On minimal copulas under the concordance order ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ Limiting dependence structures for tail events, with applications to credit derivatives ⋮ On sums of two counter-monotonic risks ⋮ Joint probability generating function for a vector of arbitrary indicator variables ⋮ Negative dependence concept in copulas and the marginal free herd behavior index

Cites Work

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• On the impact of independence of risks on stop loss premiums
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• How to (and how not to) compute stop-loss premiums in practice
• Supermodular stochastic orders and positive dependence of random vectors
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• Axiomatic characterization of insurance prices
• Optimal reinsurance in relation to ordering of risks
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios

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