Comonotonicity and Maximal Stop-Loss Premiums

By Jan Dhaene, Shaun S. Wang, Virginia R. Young, Marc J. Goovaerts. 2010

83 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/912a21960dce7f1fe2548a162c5dc58bb84772fe

How researchers see this paper

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

1. Jiaan Yan
2. Werner Hürlimann
3. Yongsheng Song
4. Shige Peng
5. Mingshang Hu
6. Marcel Nutz
7. Ariel Neufeld
8. Francisco J. Samaniego

Citations in the corpus

• Distortion Risk Measures and Economic Capital (2004, background): “It is worthwhile to mention that the relationship between distortion risk measures and ordering of risks is discussed in further papers, including Denuit et al. (1999) and Dhaene et al. (2000).”
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders (2009, background): “Independently, Heyde et al. (2006) proposed a so-called natural risk statistic which is data based and satisfies also the comonotonic subadditivity.”