The Concept of Comonotonicity in Actuarial Science and Finance: Applications

44 Pages Posted: 1 Mar 2006

See all articles by Jan Dhaene

Jan Dhaene

Katholieke Universiteit Leuven

Michel Denuit

Catholic University of Louvain

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE)

David Vyncke

Ghent University - Department of Applied Mathematics and Computer Science

Abstract

In an insurance context,one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period. It also appears when considering discounted payments related to a single policy or a portfolio, at different future points in time. The assumption of mutual independence between the components of the sum is very convenient from a computational point of view,but sometimes not a realistic one. In The Concept of Comonotonicity in Actuarial Science and Finance: Theory, we determined approximations for sums of random variables, when the distributions of the components are known, but the stochastic dependence structure between them is unknown or too cumbersome to work with. Practical applications of this theory will be considered in this paper. Both papers are to a large extent an overview of recent research results obtained by the authors, but also new theoretical and practical results are presented.

Suggested Citation

Dhaene, Jan and Denuit, Michel and Goovaerts, Marc and Kaas, Rob and Vyncke, David, The Concept of Comonotonicity in Actuarial Science and Finance: Applications. Insurance: Mathematics & Economics, Vol. 31, No. 2, pp. 133-161, 2002, Available at SSRN: https://ssrn.com/abstract=886281

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Michel Denuit

Catholic University of Louvain ( email )

Place Montesquieu, 3
B-1348 Louvain-la-Neuve, 1348
Belgium

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)

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

David Vyncke

Ghent University - Department of Applied Mathematics and Computer Science ( email )

Gent, 9000
Belgium

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