Comonotonicity, correlation order and premium principles

被引：78
|
作者：
Wang, S
Dhaene, J
机构：
[1] Katholieke Univ Leuven, Dept Toegepaste Econ Wetenschappen, B-3000 Louvain, Belgium
[2] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1998年 / 22卷 / 03期
关键词：
dependency; correlation order; comonotonicity; stop-loss premium; premium principle;
D O I：
10.1016/S0167-6687(97)00040-1
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we investigate the notion of dependency between risks and its effect on the related stop-loss premiums. The concept of comonotonicity, being an extreme case of dependency, is discussed in detail. For the bivariate case, it is shown that, given the distributions of the individual risks, comonotonicity leads to maximal stop-loss premiums. Some properties of stop-loss preserving premium principles are considered. A simple proof is given for the sub-additivity property of Wang's premium principle. (C) 1998 Elsevier Science B.V.
引用
收藏
页码：235 / 242
页数：8
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