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On dependence of risks and stop-loss premiums

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  • Hu, Taizhong
  • Wu, Zhiqiang

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  • Hu, Taizhong & Wu, Zhiqiang, 1999. "On dependence of risks and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 323-332, May.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:323-332
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    References listed on IDEAS

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    1. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    2. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    3. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    4. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
    5. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
    6. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
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    Citations

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    Cited by:

    1. Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2017. "Tail mutual exclusivity and Tail-VaR lower bounds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(1), pages 88-104, January.
    2. Carmen Ribas Mari & Antonio Alegre Escolano, 2002. "The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure," Working Papers in Economics 90, Universitat de Barcelona. Espai de Recerca en Economia.
    3. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
    4. Chuancun Yin & Dan Zhu, 2016. "Sharp convex bounds on the aggregate sums--An alternative proof," Papers 1603.05373, arXiv.org, revised May 2016.
    5. H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024. "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers 2406.10648, arXiv.org, revised Oct 2024.
    6. Frostig, Esther, 2001. "A comparison between homogeneous and heterogeneous portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 59-71, August.
    7. Ribas, Carme & Marin-Solano, Jesus & Alegre, Antonio, 2003. "On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 201-215, April.
    8. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    9. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
    10. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
    11. Frostig, Esther, 2006. "On risk dependence and mrl ordering," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 231-243, February.
    12. Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
    13. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Pairwise counter-monotonicity," Papers 2302.11701, arXiv.org, revised May 2023.
    14. Chen, Zijin & Hu, Taizhong, 2008. "Asset proportions in optimal portfolios with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 223-226, October.
    15. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    16. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
    17. Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu, 2023. "Pairwise counter-monotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 279-287.
    18. Chuancun Yin & Dan Zhu, 2016. "Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof," Risks, MDPI, vol. 4(4), pages 1-8, September.
    19. Frostig, Esther, 2001. "Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 319-332, December.

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