Correlation order, merging and diversification
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Publication:659149
DOI10.1016/J.INSMATHECO.2009.07.007zbMATH Open1231.91175OpenAlexW3123128557MaRDI QIDQ659149FDOQ659149
Authors: J. Dhaene, Steven Vanduffel, Michel Denuit 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.007
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Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15)
Cites Work
- Tail Conditional Expectations for Elliptical Distributions
- Theory of games and economic behavior.
- The Dual Theory of Choice under Risk
- Some results on the CTE-based capital allocation rule
- Comonotonicity, correlation order and premium principles
- Bounds and approximations for sums of dependent log-elliptical random variables
- Stop-loss order for portfolios of dependent risks
- Diversification of aggregate dependent risks
- Diversification for general copula dependence
- On the dependency of risks in the individual life model
- A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
- The economics of insurance: a review and some recent developments
Cited In (8)
- Validation of positive quadrant dependence
- Insights to systematic risk and diversification across a joint probability distribution
- Asymptotics for risk capital allocations based on conditional tail expectation
- Characterizing a comonotonic random vector by the distribution of the sum of its components
- Confidence band for expectation dependence with applications
- Aggregating Risks with Partial Dependence Information
- Validation of association
- Optimal capital allocation for individual risk model using a mean-variance principle
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