论文信息 - Comonotonicity and Maximal Stop-Loss Premiums

Comonotonicity and Maximal Stop-Loss Premiums

In this paper, we investigate the relationship between comonotonicity and stoploss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems in the case of bivariate random variables. We extend their work to an arbitrary sum of random variables and present several examples illustrating our results.

Marc Goovaerts | Jan Dhaene | Shaun Wang | V.R. Young

[1] Jan Dhaene,et al. On the dependency of risks in the individual life model , 1997 .

[2] Marc Goovaerts,et al. Dependency of Risks and Stop-Loss Order , 1996, ASTIN Bulletin.

[3] D. Denneberg. Non-additive measure and integral , 1994 .

[4] Shaun S. Wang. Premium Calculation by Transforming the Layer Premium Density , 1996, ASTIN Bulletin.

[5] Marc Goovaerts,et al. Ordering of actuarial risks , 1994 .

[6] Jan Dhaene,et al. Comonotonicity, correlation order and premium principles , 1998 .

[7] M. Yaari. The Dual Theory of Choice under Risk , 1987 .

[8] J. Neumann,et al. Theory of Games and Economic Behavior. , 1945 .

[9] A. Müller. Stop-loss order for portfolios of dependent risks , 1997 .

[10] Marc Goovaerts,et al. Effective actuarial methods , 1990 .

[11] Virginia R. Young,et al. Ordering risks: Expected utility theory versus Yaari's dual theory of risk , 1998 .

[12] On the impact of independence of risks on stop loss premiums , 1986 .

[13] A. Müller. Orderings of risks: A comparative study via stop-loss transforms , 1996 .

[14] Shaun S. Wang,et al. Exponential and scale mixtures and equilibrium distributions , 1998 .