Modeling and comparing dependencies in multivariate risk portfolios

ASTIN Bulletin

Volumn 28, Issue 1, 1998, Pages 59-76

  Bäuerle, Nicole ^a   Müller, Alfred ^b  

^a UNIVERSITY OF ULM   (Germany)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Comonotonicity; Dependent risks; Exchangeable Bernoulli random variables; Majorization; Stop loss order; Stop loss premium; Supermodular order

Indexed keywords

EID: 85011531647     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.28.1.519079     Document Type: Article

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