Actuarial Theory for Dependent Risks

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, R.

doi:10.1002/0470016450

Cited by 616 publications

(610 citation statements)

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“…Many well-known copula families enjoy this property, so that the results derived in this section apply when the dependence structure of (X, H) is described by such copulas. We refer the reader to Chapters 4-6 in Denuit et al (2005) for more details.…”

Section: Application To Savingsmentioning

confidence: 99%

Correlated risks, bivariate utility and optimal choices

2009

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In this paper, we consider a décision-maker facing a financial risk flanked by a background risk, possibly non-financial, such as health or environmental risk. A decision has to be made about the amount of an investment (in the financial dimension) resulting in a future benefit either in the same dimension (savings) or in the order dimension (environmental quality or health improvement). In the first case, we show that the optimal amount of savings decreases as the pair of risks increases in the bivariate increasing concave dominance rules of higher degrees which express the common preferences of all the decision-makers whose twoargument utility function possesses direct and cross derivatives fulfilling some specific requirements. Roughly speaking, the optimal amount of savings decreases as the two risks become "less positively correlated" or marginally improve in univariate stochastic dominance. In the second case, a similar conclusion on optimal investment is reached under alternative conditions on the derivatives of the utility function.

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Section: Application To Savingsmentioning

confidence: 99%

Correlated risks, bivariate utility and optimal choices

2009

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“…We refer the reader to [6] for a detailed review. In what follows, we introduce some concepts about contrast functions and contrast index.…”

Section: Main Definitionsmentioning

confidence: 99%

Estimation of quantile oriented sensitivity indices

Maume-Deschamps

Niang²

2018

Statistics & Probability Letters

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“…The likelihood ratio stochastic dominance (e.g., Denuit et al 2005;Furman and Zitikis 2008) plays a natural role here.…”

Section: When the Prices X L And X H Are Independentmentioning

confidence: 99%

An Optimal Strategy for Maximizing the Expected Real-Estate Selling Price: Accept or Reject an Offer?

Egozcue

García

Zitikis

2013

Journal of Statistical Theory and Practice

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Abstract. Motivated by a real-life situation, we put forward a model and then derive an optimal strategy that maximizes the expected real-estate selling price when one of the only two remaining buyers has already made an offer but the other one is yet to make. Since the seller is not sure whether the other buyer would make a lower or higher offer, and given no recall, the seller needs a strategy to decide whether to accept or reject the first-come offer. The herein derived optimal seller's strategy, which maximizes the expected selling price, is illustrated under several scenarios, such as independent and dependent offers by the two buyers, and for several parametric price distributions.

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Actuarial Theory for Dependent Risks

Cited by 616 publications

References 0 publications

Correlated risks, bivariate utility and optimal choices

Correlated risks, bivariate utility and optimal choices

Estimation of quantile oriented sensitivity indices

An Optimal Strategy for Maximizing the Expected Real-Estate Selling Price: Accept or Reject an Offer?

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