Stochastic comparisons of capital allocations with applications
type: Item
instance of: scholarly article
title: Stochastic comparisons of capital allocations with applications
zbMATH Open document ID: 1237.91141
author: Maochao Xu
author: Taizhong Hu
published in: Insurance Mathematics \& Economics
publication date: 2012-05-11T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62N05
Mathematics Subject Classification ID: 62G30
Mathematics Subject Classification ID: 62D05
zbMATH DE Number: 6033250
zbMATH Keywords: capital allocation
zbMATH Keywords: increasing and convex order
zbMATH Keywords: likelihood ratio order
zbMATH Keywords: log-concave
zbMATH Keywords: majorization
zbMATH Keywords: stochastic orders
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2011.12.004
OpenAlex ID: W2008658074
cites work: Log-concave probability and its applications
cites work: Optimal allocation of policy limits and deductibles
cites work: An Overview of Comonotonicity and Its Applications in Finance and Insurance
cites work: The concept of comonotonicity in actuarial science and finance: theory.
cites work: The concept of comonotonicity in actuarial science and finance: applications.
cites work: A review of selected topics in multivariate probability inequalities
cites work: Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
cites work: Weighted risk capital allocations
cites work: Decision principles derived from risk measures
cites work: Functions decreasing in transposition and their applications in ranking problems
cites work: Worst allocations of policy limits and deductibles
cites work: Worst VaR scenarios: A remark
cites work: An optimization approach to the dynamic allocation of economic capital
cites work: Stochastic comparisons for allocations of policy limits and deductibles with applications
cites work: Inequalities: theory of majorization and its applications
cites work: Some inequalities of linear combinations of independent random variables. II
cites work: Q5682159
cites work: Extension of the bivariate characterization for stochastic orders
cites work: Stochastic orders
cites work: To split or not to split: Capital allocation with convex risk measures
cites work: Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
cites work: Optimal allocation of policy limits and deductibles under distortion risk measures
DOI: 10.1016/J.INSMATHECO.2011.12.004
description: scientific article; zbMATH DE number 6033250