Year: 2000
Type: article
Abstract: In this paper, we investigate the relationship between comonotonicity and stoploss order.We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk.Wang and Dhaene (1997) explore related problems in the case of bivariate random variables.We extend their work to an arbitrary sum of random variables and present several examples illustrating our results.
Source: Lirias
DOI: 10.5169/seals-967300
Authors: Dhaene, Jan, Wang, Shaun, Young, Virginia
Institutions: KU Leuven, Georgia State University, University of Michigan
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1526176352