Dependency of Risks and Stop - Loss Order

Abstract

The correlation order, which is defined as a partial order between bivariate distributions with equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness of portfolios with pairwise dependencies. Given the distribution functions of the individual risks, it is investigated how changing the dependency assumption influences… (More)

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Cite this paper

@inproceedings{Dhaene2000DependencyOR, title={Dependency of Risks and Stop - Loss Order}, author={Jan Dhaene and Marc J. Goovaerts}, year={2000} }