Stochastic bounds on sums of dependent risks

DOI10.1016/S0167-6687(99)00027-XzbMath1028.91553OpenAlexW2050598159MaRDI QIDQ1962818

Christian Genest, Michel M. Denuit, Étienne Marceau

Publication date: 31 January 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00027-x

zbMATH Keywords

stochastic dominancereinsurancestop-loss orderdependency bound

Mathematics Subject Classification ID

Related Items (47)

Copula-based grouped risk aggregation under mixed operation. ⋮ Diversification of aggregate dependent risks ⋮ Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ Bounds for functions of dependent risks ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ A Conversation With Paul Embrechts ⋮ Price and revenue bounds for bundles of information goods ⋮ Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities ⋮ On two dependent individual risk models. ⋮ Copula convergence theorems for tail events. ⋮ Some results on ruin probabilities in a two-dimensional risk model. ⋮ Risk Bounds and Partial Dependence Information ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ On \(s\)-convex stochastic extrema for arithmetic risks ⋮ Worst case risk measurement: back to the future? ⋮ Tolerance intervals for quantiles of bivariate risks and risk measurement ⋮ Bivariate lower and upper orthant value-at-risk ⋮ Distributional bounds for portfolio risk with tail dependence ⋮ Tail asymptotics for the sum of two heavy-tailed dependent risks ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Using fuzzy logic to interpret dependent risks ⋮ Modeling Catastrophes and their Impact on Insurance Portfolios ⋮ Asymptotics of sums of lognormal random variables with Gaussian copula ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Measurement of bivariate risks by the north-south quantile points approach ⋮ SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE ⋮ Risk aggregation with dependence uncertainty ⋮ On the distribution of the (un)bounded sum of random variables ⋮ Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach ⋮ Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Worst VaR scenarios with given marginals and measures of association ⋮ Worst VaR scenarios: A remark ⋮ Log-concavity of the extremes from Gumbel bivariate exponential distributions ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ Bounds for the sum of dependent risks having overlapping marginals ⋮ Worst VaR scenarios ⋮ Bounds on the value-at-risk for the sum of possibly dependent risks ⋮ Impact of dependence among multiple claims in a single loss ⋮ Joint probability generating function for a vector of arbitrary indicator variables ⋮ Copulas: A Review and Recent Developments ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ The Mean of Marshall–Olkin-Dependent Exponential Random Variables

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums
• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
• On the impact of independence of risks on stop loss premiums
• Some functional equations in the space of uniform distribution functions
• On a class of approximative computation methods in the individual risk model
• Stochastic ordering and dependence in applied probability
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• Recursions for the individual model
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Improved approximations for the aggregate claims distribution of a life insurance portfolio
• Random variables with maximum sums
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
• Uniform representations of bivariate distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Stochastic Orders Generated by Integrals: a Unified Study
• Some Concepts of Dependence
• Convex Analysis
• Understanding Relationships Using Copulas

This page was built for publication: Stochastic bounds on sums of dependent risks