Ordering scalar products with applications in financial engineering and actuarial science

DOI10.1017/jpr.2015.7zbMath1335.60016OpenAlexW2295906027MaRDI QIDQ2804411

Yinping You, Xiaohu Li

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470557

zbMATH Keywords

majorizationArchimedean copuladeductibleupper tail permutation decreasingcoverage limit

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (7)

ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Preservation of weak SAI's under increasing transformations with applications ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ On the increasing convex order of generalized aggregation of dependent random variables

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