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Document Details : Title: Dependency of Risks and Stop-Loss Order Author(s): DHAENE, J. , GOOVAERTS, M. Journal: ASTIN Bulletin Volume: 26 Issue: 2 Date: November 1996 Pages: 201-212 DOI: 10.2143/AST.26.2.563219 Abstract : The correlation order, which is defined as a partial order between bivariate distributions with equal marginals, is shown to be a helpful tool for deriving results concerning the riskiness of portfolios with pairwise dependencies. Given the distribution functions of the individual risks, it is investigated how changing the dependency assumption influences the stop-loss premiums of such portfolios. |
