𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stop-loss order for portfolios of dependent risks

✍ Scribed by Alfred Müller

Book ID
104299624
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
376 KB
Volume
21
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

The paper considers the riskiness of portfolios of dependent risks, The supermodular stochastic order is used to compare the dependence of multivariate distributions with equal marginals. It is shown that supermodular ordering implies stop-loss order of the portfolios. Moreover, the riskiest portfolio under all portfolios with equal marginals is characterized. This extends the results of Dhaene and Goovaerts (1996, 1997).

📜 SIMILAR VOLUMES

On dependence of risks and stop-loss pre
On dependence of risks and stop-loss premiums
✍ Taizhong Hu; Zhiqiang Wu 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 87 KB

In this paper, we investigate the notion of multivariate dependence between individuals and its effect on the related stop-loss premiums. First, we consider the type of negative dependence between individuals in a portfolio that gives rise to the safest aggregate claims where the portfolio consists