Dependency of Risks and Stop-Loss Order1

ASTIN Bulletin

Volumn 26, Issue 2, 1996, Pages 201-212

  Dhaene, Jan ^a   Goovaerts, Marc J ^a  

^a NONE

Author keywords

Bivariate distributions; Correlation order; Dependent risks; Stop loss order

Indexed keywords

EID: 85011519651     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.26.2.563219     Document Type: Article

References (21)

1. Aboudi, R. and Thon, D. (1993). Expected utility and the Siegel paradox: a generalisation. Journal of Economics. 57(1), 69–93.
2. Aboudi, R. and Thon, D. (1995). Second degree stochastic dominance decisions and random initial wealth with applications to the economics of insurance. Journal of Risk and Insurance. 62(1), 30–49.
3. Barlow, R.E. and Proschan, F. (1975). Statistical Theory of Reliability and Life Testing. Holt, Rinehart and Winston. New York.
4. Cambanis, S.; Simons, G. and Stout, W. (1976). Inequalities for Ek(X, Y) when marginals are fixed. Zeitschrift fur Wahrscheinlichkeitstheorie und verwandte Gebiete. 36, 285–294.
5. Dhaene, J. and Goovaerts, M.J. (1995). On the dependency of risks in the individual life model. Research Report 9539, Departement Toegepaste Economische Wetenschappen, K.U. Leuven. Submitted.
6. Epstein, L. and Tanny, S. (1980). Increasing generalized correlation: a definition and some economic consequences. Canadian Journal of Economics. 8(1), 16–34.
7. Fréchet, M. (1951). Sur les tableaux de corrélation dont les marges sont données. Ann. Univ. Lyon Sect. A., Séries, 3, 14, 53–77.
8. Gerber, H.U. (1979). An introduction to mathematical risk theory. Huebner Foundation Monograph no. 8. Wharton School, Philadelphia.
9. Goovaerts, M.J.: Kaas, R.: Van Heerwaarden, A.E. and Bauwelinckx, T. (1990). Effective Actuarial Methods. Insurance Series vol. 3, North-Holland.
10. Heilmann, W.-R. (1986). On the impact of the independence of risks on stop-loss premiums. Insurance: Mathematics and Economics. 5, 197–199.
11. Hoeffding, W. (1940). Masstabinvariante Korrelations-Theorie. Sehr. Math. Inst. Univ. Berlin, 5, 181–233.
12. Jewell, W.S. (1984). Approximating the distribution of a dynamic risk portfolio. Astin Bulletin. 14(2), 135–148.
13. Jodgeo, K. (1982). Dependence, concepts of. In: Johnson, N.L. and Kotz, S. (ed.). Encyclopedia of Statistical Sciences.
14. Kling, B. (1993). Life Insurance: a Non-Life Approach. Tmbergen Institute, Amsterdam.
15. Lehman, E. (1966). Some concepts of dependence. Annals of Mathematical Statistics. 37, 1137–1153.
16. Levy, H., Andparoush, J. (1974). Toward multivariate efficiency criteria. Journal of Economic Theory. 7, 129–142.
17. Meilijson, I. and Nadas, A. (1979). Convex majorization with an application to the length of critical paths. Journal of Applied Probability. 16, 671–677.
18. Norberg, R. (1989). Actuarial analysis of dependent lives. Mitteilungen der Schweiz. Vereinigung der Versicherungsmathematiker 1989(2), 243–255.
19. Stoyan, D. (1983). Comparison Methods for Queues and other Stochastic Models, Wiley and Sons, New York.
20. Tchen, A. (1980). Inequalities for distributions with given marginals. Annals of Probability. 8, 814–827.
21. Tong, Y. (1980). Probability Inequalities in Multivariate Distributions. New York. Academic Press.