Convex order and comonotonic conditional mean risk sharing-Reference-Cited by-同舟云学术

Convex order and comonotonic conditional mean risk sharing

Published:2012-09 Issue:2 Volume:51 Page:265-270
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Denuit Michel,Dhaene Jan

Funder

Banque Nationale de Belgique

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference19 articles.

1. The safety loading of reinsurance premiums;Borch;Scandinavian Actuarial Journal,1960

2. Equilibrium in a reinsurance market;Borch;Econometrica,1962

3. Dana, R.-A., Meilijson, I., 2003. Modelling agents’ preferences in complete markets by second order stochastic dominance, Working Paper 03-33, CEREMADE, Université Paris-Dauphine, France.

4. Actuarial Theory for Dependent Risk: Measures, Orders and Models;Denuit,2005

5. Optimal reinsurance and stop-loss order;Denuit;Insurance: Mathematics and Economics,1998

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