ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES

DOI10.1017/asb.2018.1zbMath1390.91219OpenAlexW2793674252MaRDI QIDQ4562956

Yiying Zhang, Ka Chun Cheung, Xiaohu Li

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.1

zbMATH Keywords

majorizationcomonotonicityLWSAIRWSAIstop-loss order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (11)

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 ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Ordering results on largest order statistics from multiple-outlier gamma variables ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ On asset allocation for a threshold model with dependent returns ⋮ Ranking the extreme claim amounts in dependent individual risk models ⋮ On the increasing convex order of generalized aggregation of dependent random variables ⋮ Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities

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