Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
From MaRDI portal
Publication:1613038
DOI10.1016/S0167-7152(02)00039-1zbMath1007.91028MaRDI QIDQ1613038
Christian Genest, M'hamed Mesfioui, Étienne Marceau
Publication date: 5 September 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
Modelling losses using an exponential-inverse Gaussian distribution ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ Variability comparisons for some mixture models with stochastic environments in biosciences and engineering ⋮ Bounds on the value-at-risk for the sum of possibly dependent risks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
- Comonotonicity, correlation order and premium principles
- Stop-loss order for portfolios of dependent risks
- Optimal reinsurance in relation to ordering of risks
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Exponential and scale mixtures and equilibrium distributions
This page was built for publication: Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
