Title of article
Stop-loss order for portfolios of dependent risks
Author/Authors
Müller، نويسنده , , Alfred، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
5
From page
219
To page
223
Abstract
The paper considers the riskiness of portfolios of dependent risks. The supermodular stochastic order is used to compare the dependence of multivariate distributions with equal marginals. It is shown that supermodular ordering implies stop-loss order of the portfolios. Moreover, the riskiest portfolio under all portfolios with equal marginals is characterized. This extends the results of Dhaene and Goovaerts (1996, 1997).
Keywords
Supermodular order , Stop-loss order , Orthant order , Individual model of risk theory , Dependent risks
Journal title
Insurance Mathematics and Economics
Serial Year
1997
Journal title
Insurance Mathematics and Economics
Record number
1541792
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