The safest dependence structure among risks
نویسندگان
چکیده
منابع مشابه
The safest dependence structure among risks
In this paper we investigate the dependence in Fréchet spaces containing mutually exclusive risks. It is shown that, under some reasonable assumptions, the safest dependence structure, in the sense of the minimal stop-loss premiums for the aggregate claims involved, is obtained with the Fréchet lower bound and precisely corresponds to the mutually exclusive risks of the Fréchet space. In that r...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 1999
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(99)00009-8