Title of article :
Does positive dependence between individual risks increase stop-loss premiums?
Author/Authors :
Denuit، نويسنده , , Michel and Dhaene، نويسنده , , Jan and Ribas، نويسنده , , Carmen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
Actuaries intuitively feel that positive correlations between individual risks reveal a more dangerous situation compared to independence. The purpose of this short note is to formalize this natural idea. Specifically, it is shown that the sum of risks exhibiting a weak form of positive dependence known as positive cumulative dependence is larger in convex order than the corresponding sum under the theoretical independence assumption.
Keywords :
dependence , Risk theory , Convex order
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics