Risk reducers in convex order

DOI10.1016/j.insmatheco.2016.05.009zbMath1371.91091MaRDI QIDQ2520435

Junnan He, Huan Zhang, Qi-he Tang

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.009

zbMATH Keywords

convex hull; optimal reinsurance; multivariate stochastic ordering; co/counter-monotonicity; index-linked hedging strategies

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization, LLN-type approximations for large portfolio losses

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