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Comonotonicity and maximal stop-loss premiums. (English. French, German summary) Zbl 1187.91099

Summary: We investigate the relationship between comonotonicity and stop-loss order. We prove our main results by using a characterization of stop-loss order within the framework of M. E. Yaari’s [Econometrica 55, 95–115 (1987; Zbl 0616.90005)] dual theory of choice under risk. S. Wang and J. Dhaene [Insur. Math. Econ. 22, No. 3, 235–242 (1998; Zbl 0909.62110)] explore related problems in the case of bivariate random variables. We extend their work to an arbitrary sum of random variables and present several examples illustrating our results.

MSC:

91B30 Risk theory, insurance (MSC2010)
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