Comparisons on aggregate risks from two sets of heterogeneous portfolios

DOI10.1016/j.insmatheco.2015.09.004zbMath1348.91194OpenAlexW1879698327MaRDI QIDQ896754

Yiying Zhang, Peng Zhao

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.004

zbMATH Keywords

multivariate majorizationscale modelincreasing convex orderarrangement increasingchain majorizationPHR model

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Reliability, availability, maintenance, inspection in operations research (90B25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (14)

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 ⋮ Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims ⋮ Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model ⋮ 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 ⋮ Sufficient conditions for ordering aggregate heterogeneous random claim amounts ⋮ Ranking the extreme claim amounts in dependent individual risk models ⋮ On the increasing convex order of generalized aggregation of dependent random variables ⋮ On transform orders for largest claim amounts

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