Comonotonicity and Maximal Stop-Loss Premiums

Bulletin of the Swiss Association of Actuaries, Vol. 2, pp. 99-113, 2000

14 Pages Posted: 16 May 2010

See all articles by Jan Dhaene

Jan Dhaene

Katholieke Universiteit Leuven

Shaun Wang

Georgia State University's Robinson College of Business

V.R. Young

University of Michigan at Ann Arbor - Department of Mathematics

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Abstract

In this paper, we investigate the relationship between comonotonicity and stoploss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) 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.

Suggested Citation

Dhaene, Jan and Wang, Shaun S. and Young, Virginia R. and Goovaerts, Marc, Comonotonicity and Maximal Stop-Loss Premiums. Bulletin of the Swiss Association of Actuaries, Vol. 2, pp. 99-113, 2000 , Available at SSRN: https://ssrn.com/abstract=884452

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Shaun S. Wang

Georgia State University's Robinson College of Business ( email )

P.O. Box 4036
Atlanta, GA 30302-4036
United States
404-413-7486 (Phone)
404-413-7499 (Fax)

HOME PAGE: http://www.rmi.gsu.edu/Faculty/pages/wang.htm

Virginia R. Young

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States
734-764-7227 (Phone)

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

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