Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

Statistics and Probability Letters

Volumn 57, Issue 1, 2002, Pages 33-41

  Genest, Christian ^a   Marceau, Étienne ^a   Mesfioui, Mhamed ^b  

^a UNIVERSITÉ LAVAL   (Canada)

^b UNIVERSITÉ DU QUÉBEC À TROIS RIVIÈRES   (Canada)

Author keywords

Comonotonicity; Fr chet bounds; Stop loss bounds; Stop loss ordering

Indexed keywords

EID: 0036507656     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(02)00039-1     Document Type: Article

References (14)

1. Modeling and comparing dependencies in multivariate risk portfolios
2. Some inequalities for stop-loss premiums
3. Upper and lower bounds on stop-loss premiums in case of known expectation and variance of the risk variable
4. Dependency of risks and stop-loss order
5. Comonotonicity and maximal stop-loss premiums
6. Exponential and scale mixtures and equilibrium distributions
7. Improved analytical bounds for some risk quantities
8. On best stop-loss bounds for bivariate sums by known marginal means, variances and correlation
9. Upper bounds on stop-loss premiums in case of known moments up to the fourth order
10. Ordering of Actuarial Risks
11. Stop-loss order for portfolios of dependent risks
12. Stochastic Orders and Their Applications
13. Comonotonicity, correlation order and premium principles