Generalized correlation order and stop-loss order [An article from: Insurance Mathematics and Economics]

by T.Y. Lu, Z. Yi

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This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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In this paper, we give a natural generalization of correlation order to higher dimensions, which has been investigated by Dhaene and Goovaerts [ASTIN Bulletin 26 (1996) 201] for the bivariate case. We show that the correlation order is stronger than upper orthant order and lower orthant order so that it implies stop-loss order. This extends the results of Dhaene and Goovaerts [ASTIN Bulletin 26 (1996) 201]. Moreover, we give some properties of correlation order and its application to premium calculation principle, which also extends some results of Wang and Dhaene [Insurance: Mathematics and Economics 22 (1998) 235].

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