Correlation order, merging and diversification

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

zbMATH Keywords

diversificationcomonotonicitysupermodularityshortfall riskcorrelation order

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15)

Recommendations

• Generalized correlation order and stop-loss order
• Heavy tails and copulas: limits of diversification revisited
• Comonotonicity, correlation order and premium principles
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• On dependence of risks and stop-loss premiums

Cites work

• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Bounds and approximations for sums of dependent log-elliptical random variables
• Comonotonicity, correlation order and premium principles
• Diversification for general copula dependence
• Diversification of aggregate dependent risks
• On the dependency of risks in the individual life model
• Some results on the CTE-based capital allocation rule
• Stop-loss order for portfolios of dependent risks
• Tail Conditional Expectations for Elliptical Distributions
• The Dual Theory of Choice under Risk
• The economics of insurance: a review and some recent developments
• Theory of games and economic behavior.

Cited in

(8)

• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Validation of association
• Insights to systematic risk and diversification across a joint probability distribution
• Validation of positive quadrant dependence
• Optimal capital allocation for individual risk model using a mean-variance principle
• Aggregating risks with partial dependence information
• Confidence band for expectation dependence with applications
• Asymptotics for risk capital allocations based on conditional tail expectation

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