A comparison between homogeneous and heterogeneous portfolios.

DOI10.1016/S0167-6687(01)00073-7zbMath1072.91026OpenAlexW2094379401WikidataQ127186512 ScholiaQ127186512MaRDI QIDQ1413283

Esther Frostig

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00073-7

zbMATH Keywords

stochastic orderingconvex orderingportfolio risksupermodular ordering

Mathematics Subject Classification ID

Related Items (23)

A note on multivariate stochastic comparisons of Bernoulli random variables ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ Ordering properties of the smallest and largest claim amounts in a general scale model ⋮ Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios ⋮ On stochastic comparison between aggregate claim amounts ⋮ Multivariate insurance models: an overview ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Further developments on sufficient conditions for negative dependence of random variables. ⋮ Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model ⋮ Model points and tail-VaR in life insurance ⋮ On the convex transform and right-spread orders of smallest claim amounts ⋮ Ordering Results for Aggregate Claim Amounts from Two Heterogeneous Marshall--Olkin Extended Exponential Portfolios and Their Applications in Insurance Analysis ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ On the increasing convex order of generalized aggregation of dependent random variables ⋮ Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities ⋮ Grouping of contracts in insurance using neural networks ⋮ On transform orders for largest claim amounts ⋮ Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications

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