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Modeling and comparing dependencies in multivariate risk portfolios

Baeuerle, Nicole ORCID iD icon; Mueller, Alfred

Abstract:
In this paper we investigate multivariate risk portfolios where the risks are dependent. By providing some natural models for risk portfolios with the same marginal distributions we are able to compare two portfolios with different dependence structure with respect to their stoploss premiums. In particular some comparison results for portfolios with twopoint distributions are obtained. The analysis is based on the concept of the so called supermodular ordering. We also give some numerical results which indicate that dependencies in risk portfolios can have a severe impact on the stoploss premium. In fact we show that the effect of dependencies can grow beyond any given bound.


Volltext §
DOI: 10.5445/IR/133198
Originalveröffentlichung
DOI: 10.2143/AST.28.1.519079
Dimensions
Zitationen: 87
Cover der Publikation
Zugehörige Institution(en) am KIT Fakultät für Wirtschaftswissenschaften – Institut für Wirtschaftstheorie und Operations Research (WIOR)
Publikationstyp Zeitschriftenaufsatz
Publikationsjahr 1998
Sprache Englisch
Identifikator ISSN: 0515-0361
urn:nbn:de:swb:90-AAA1331982
KITopen-ID: 133198
Erschienen in ASTIN Bulletin
Verlag Cambridge University Press (CUP)
Band 28
Heft 1
Seiten 59-76
Schlagwörter Stop-loss premium, Supermodular order, Stop-loss order, Majorization, Comonotonicity, Exchangeable Bernoulli random variables
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