6,886 research outputs found
Some positive dependence notions, with applications in actuarial sciences.
The paper is devoted to the study of several notions of positive dependence among risks, namely association, linear positive quadrant dependence, positive orthant dependence and conditional increasingness in sequence. Various examples illustrate the usefulness of these notions in an actuarial context.Dependence; Applications; Actuarial; Science;
Does positive dependence between individual risks increase stop-loss premiums?.
Actuaries intuitively feel that positive correlations between individual risks reveal a more dangerous situation compared to independence. The purpose of this short note is to formalize this natural idea. Specifically, it is shown that the sum of risks exhibiting a weak form of dependence known as positive cumulative dependence is larger in convex order than the corresponding sum under the theoretical independence assumption.Dependence; Risk;
- …