On Stop-Loss Order and the Distortion Pricing Principle
نویسندگان
چکیده
منابع مشابه
Dependency of Risks and Stop - Loss Order
The correlation order, which is defined as a partial order between bivariate distributions with equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness of portfolios with pairwise dependencies. Given the distribution functions of the individual risks, it is investigated how changing the dependency assumption influences the stop-loss premiums of such portfol...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1998
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.28.1.519082