Stochastic comparisons of capital allocations with applications

DOI10.1016/j.insmatheco.2011.12.004zbMath1237.91141OpenAlexW2008658074MaRDI QIDQ414587

Maochao Xu, Taizhong Hu

Publication date: 11 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.12.004

zbMATH Keywords

stochastic orderslikelihood ratio ordermajorizationcapital allocationlog-concaveincreasing and convex order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sampling theory, sample surveys (62D05) Order statistics; empirical distribution functions (62G30) Reliability and life testing (62N05) Portfolio theory (91G10)

Related Items (15)

On capital allocation for stochastic arrangement increasing actuarial risks ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ Stochastic comparisons of weighted sums of arrangement increasing random variables ⋮ Allocations of policy limits and ordering relations for aggregate remaining claims ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Multiobjective optimization of credit capital allocation in financial institutions ⋮ ON ORDERINGS BETWEEN WEIGHTED SUMS OF RANDOM VARIABLES ⋮ Optimal capital allocation based on the tail mean-variance model ⋮ Optimal capital allocations to interdependent actuarial risks ⋮ GlueVaR risk measures in capital allocation applications ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ On the increasing convex order of generalized aggregation of dependent random variables

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