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.
Volume
26:2
Page
201-212
Year
1996
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin