Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios

DOI10.1080/03610926.2017.1343844OpenAlexW2728028331MaRDI QIDQ5160212

Ghobad Barmalzan, Amir T. Payandeh Najafabadi, Narayanaswamy Balakrishnan

Publication date: 28 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1343844

zbMATH Keywords

value-at-risknegatively associatedtail-value-at-riskmultivariate chain majorizationMarshall-Olkin extended exponential distributionaggregate claim amountspositive cumulative dependence

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (1)

Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios

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