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Stochastic Analysis of Duplicates in Life Insurance Portfolios

Author

Listed:
  • Denuit, M.

Abstract

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

Suggested Citation

  • Denuit, M., 2000. "Stochastic Analysis of Duplicates in Life Insurance Portfolios," Papers 4, Catholique de Louvain - Institut de statistique.
    • Handle: RePEc:fth:louvis:4
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    Cited by:

    1. 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.

    More about this item

    Keywords

    ECONOMETRICS ; RISK ; INSURANCE;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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