Modeling and Comparing Dependencies in Multivariate Risk Portfolios

In this paper we investigate multlvariate risk portfolios, where the risks aredependent. By provMlng some natural models for risk portfohos with thesame marginal d~stnbut~ons we are able to compare two portfohos withd~flierent dependence structure with respect to their stop-loss premiums...

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Year of publication:	1998-05-01
Authors:	Bauerle, Nicole ; Müller, Alfred
Institutions:	Universität <Ulm> / Abteilung Mathematik <5> ; Institut für Wirtschaftstheorie und Operations-Research <Karlsruhe>
Published in:	Casualty Actuarial Society - Publications ASTlN BULLETIN ; Vol. 28 - No. 1 - 1998, 59-76
Subject:	Multivariate Analyse

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Extent:	830464 bytes 18 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847250