Impact of dependence among multiple claims in a single loss

Insurance: Mathematics and Economics

Volumn 26, Issue 2-3, 2000, Pages 213-222

  Cossette, Hélène ^a   Denuit, Michel ^b   Marceau, Etienne ^a  

^a UNIVERSITÉ LAVAL   (Canada)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Collective risk model; Dependence; Stochastic dominance

Indexed keywords

EID: 0034621107     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00054-2     Document Type: Article

References (14)

1. Denuit, M., Genest, C., Marceau, E., 1999. Stochastic bounds on sums of dependent risks. Insurance: Mathematics and Economics 25, 85-104.
2. Dhaene, J., Goovaerts, M.J., 1996. Dependency of risks and stop-loss order. ASTIN Bulletin 26, 201-212.
3. Dhaene, J., Goovaerts, M.J., 1997. On the dependency of risks in the individual life model. Insurance: Mathematics and Economics 19, 243-253.
4. Frees, E.W., Valdez, E.A., 1998. Understanding relationships using copulas. North American Actuarial Journal 2, 1-25.
5. Goovaerts, M.J., Kaas, R., van Heerwarden, A.E., Bauwelinckx, T., 1990. Effective Actuarial Methods. North-Holland, Amsterdam.
6. Hürlimann, W., 1998. On best stop-loss bounds for bivariate sums by known means, variances and correlation. Bulletin of the Swiss Association of Actuaries, pp. 111-134.
7. Kaas, R., Goovaerts, M.J., 1985. Bounds on distribution functions under integral constraints. Bulletin de l'Association Royale des Actuaires Belges - Koninklijke Vereniging der Belgische Actuarissen 79, 45-60.
8. Klugman, S.A., Panjer, H.H., Willmot, G.E., 1998. Loss Models: From Data to Decisions. Wiley, New York.
9. Klugman, S.A., Parsa, R., 1999. Fitting bivariate loss distribution with copulas. Insurance: Mathematics and Economics 24, 139-148.
10. Panjer, H.H., Willmot, G.E., 1992. Insurance Risk Models. Society of Actuaries, Schaunmburg, IL.
11. Rolski, T., Schmidli, H., Schmidt, V., Teugels, J., 1999. Stochastic Processes for Insurance and Finance. Wiley, New York.
12. Shaked, M., Shanthikumar, J.G., 1994. Stochastic Orders and their Applications. Academic Press, San Diego.
13. Szekli, R., 1995. Stochastic Ordering and Dependence in Applied Probability. Lecture Notes in Statistics, Vol. 97. Springer, Berlin.
14. Wang, S., 1998. Aggregation of Correlated Risk Portfolios: Models and Algorithms. Casualty Actuarial Society.