Bauerle, Nicole; Müller, Alfred - Universität <Ulm> / Abteilung Mathematik <5>; Institut … - 1998
In this paper we investigate multlvariate risk portfolios, where the risks aredependent. By provMlng some natural models for risk portfohos with thesame marginal d~stnbut~ons we are able to compare two portfohos withd~flierent dependence structure with respect to their stop-loss premiums...