Stop-loss order for portfolios of dependent risks

被引：90

作者：

Muller, A ^{[1
]}

机构：

[1] Univ Karlsruhe, Inst Wirtschaftstheorie & Operat Res, D-76128 Karlsruhe, Germany

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1997年 / 21卷 / 03期

关键词：

dependent risks; supermodular order; orthant order; stop-loss order; individual model of risk theory;

D O I：

10.1016/S0167-6687(97)00032-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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).

引用

页码：219 / 223

页数：5

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