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

By Michel Denuit, Jan Dhaene, Carmen Ribas. 2001

71 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4dba66e2f9c1cc6492331dba133d7a21eafb38f0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Ludger Rüschendorf
2. Steven Vanduffel

In Economics and Econometrics

1. Ludger Rüschendorf
2. Steven Vanduffel
3. Ruodu Wang

In Management Science and Operations Research

1. Steven Vanduffel
2. Ludger Rüschendorf
3. Paul Embrechts
4. Ruodu Wang

Citations in the corpus

• The concept of comonotonicity in actuarial science and finance: theory (2002, unknown): “A graphical interpretation of relations (8) and (9) is given in Figure 1.”
• Value-at-Risk Bounds with Variance Constraints (2015, background): “, in which marginal distributions are fixed) have been studied by Rüschendorf (1982) (in the case of two risks) and, more recently, by Denuit et al. (1999), Puccetti and Rüschendorf (2012a, 2013), and Embrechts et al.”