On the preservation of some orderings of risks under convolution

DOI10.1016/0167-6687(94)00024-9zbMath0835.62103OpenAlexW2024101872MaRDI QIDQ1902622

Franco Pellerey

Publication date: 22 November 1995

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00024-9

zbMATH Keywords

stabilityconvolutionrandom summationpremium calculationsharmonic average mean remaining life orderingmean remaining life orderingpartial stochastic orderings of riskstotal claims distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Correction note to ``On the preservation of some orderings of risks under convolution ⋮ Comparison of individual risk models ⋮ Test for harmonic mean residual life function: a goodness of fit approach

Cites Work

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• Direct martingale arguments for stability: The M/G/1 case
• DFR property of first-passage times and its preservation under geometric compounding
• Mean residual life and increasing convex comparison of shock models
• A general composition theorem and its applications to certain partial orderings of distributions
• TP₂-Orderings and the IFR Property with Applications
• Uniform stochastic orderings and total positivity
• Characterizations of claim distributions by reliability techniques

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