Does positive dependence between individual risks increase stop-loss premiums?

被引：36
作者：
Denuit, M
Dhaene, J
Ribas, C
机构：
[1] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium
[2] Katholieke Univ Leuven, Fac Econ & Toegepaste Econ Wetenschappen, Dept Toegepaste Econ Wetenschappen, B-3000 Louvain, Belgium
[3] Univ Barcelona, Fac Ciences Econ I Empresarials, Dept Matemat Econ Financiera I Actuarial, Barcelona 08034, Spain
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2001年 / 28卷 / 03期
关键词：
dependence; risk theory; convex order;
D O I：
10.1016/S0167-6687(00)00079-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码：305 / 308
页数：4
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