| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077012 | Insurance: Mathematics and Economics | 2009 | 8 Pages |
Abstract
We also consider merging comonotonic losses and show that even in this extreme case a strictly positive diversification benefit will often arise.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jan Dhaene, Michel Denuit, Steven Vanduffel,