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Can I read Comonotonicity, Correlation Order and Premium Principles on EtoBox?
Comonotonicity, Correlation Order and Premium Principles by Shaun Wang; Jan Dhaene is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Comonotonicity, Correlation Order and Premium Principles about?
In this paper, we investigate the notion of dependency between risks and its effect on the related stop-loss premiums. The concept of comonotonicity, being an extreme case of dependency, is discussed in detail. For the bivariate case, it is shown that, given the distributions of the individual risks, comonotonicity leads to maximal stop-loss premiums. Some properties of stop-loss preserving premium principles are considered. A simple proof is given for the sub-additivity property of Wang's premium principle.
Who reads Comonotonicity, Correlation Order and Premium Principles?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Shaun Wang; Jan Dhaene
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-6687)
- Published
- 1998
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)