On the impact of independence of risks on stop loss premiums

DOI10.1016/0167-6687(86)90032-6zbMath0596.62111OpenAlexW1981438547WikidataQ86371721 ScholiaQ86371721MaRDI QIDQ1078965

Wolf-Rüdiger Heilmann

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90032-6

zbMATH Keywords

independence of the risksstop loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

On the dependency of risks in the individual life model ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ The hurdle-race problem. ⋮ The safest dependence structure among risks. ⋮ Stochastic bounds on sums of dependent risks ⋮ Comonotonic convex upper bound and majorization ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums ⋮ On the correlation order ⋮ Claim dependence with common effects in credibility models ⋮ Extremal dependence concepts ⋮ Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes ⋮ Comonotonicity, correlation order and premium principles ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences

Cites Work

• Convex majorization with an application to the length of critical paths

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