On the increasing convex order of generalized aggregation of dependent random variables
From MaRDI portal
Recommendations
- Increasing convex order on generalized aggregation of SAI random variables with applications
- Two sufficient conditions for convex ordering on risk aggregation
- scientific article; zbMATH DE number 1664582
- Parametric Schur convexity and arrangement monotonicity properties of partial sums
- Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
Cites work
- scientific article; zbMATH DE number 3864304 (Why is no real title available?)
- A Colonel Blotto gladiator game
- A comparison between homogeneous and heterogeneous portfolios.
- A note on multivariate stochastic comparisons of Bernoulli random variables
- Allocations of policy limits and ordering relations for aggregate remaining claims
- An introduction to copulas.
- An optimization approach to the dynamic allocation of economic capital
- Comparison methods for stochastic models and risks
- Comparisons on aggregate risks from two sets of heterogeneous portfolios
- Convex orders for linear combinations of random variables
- Functional characterizations of bivariate weak SAI with an application
- Heterogeneity and the need for capital in the individual model
- Increasing convex order on generalized aggregation of SAI random variables with applications
- Inequalities for linear combinations of gamma random variables
- Inequalities: theory of majorization and its applications
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- On capital allocation for stochastic arrangement increasing actuarial risks
- On heterogeneity in the individual model with both dependent claim occurrences and severities
- On orderings between weighted sums of random variables
- On skewness and dispersion among convolutions of independent gamma random variables
- On stochastic comparison between aggregate claim amounts
- On stochastic orders for sums of independent random variables
- On the right spread order of convolutions of heterogeneous exponential random variables
- Optimal allocation of policy limits and deductibles
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Optimal portfolio problem with unknown dependency structure
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Ordering scalar products with applications in financial engineering and actuarial science
- Peakedness for weighted sums of symmetric random variables
- Some Inequalities of Linear Combinations of Independent Random Variables. I.
- Some inequalities of linear combinations of independent random variables. II
- Some new notions of dependence with applications in optimal allocation problems
- Some stochastic inequalities for weighted sums
- Stochastic comparisons of capital allocations with applications
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Stochastic orders
- Stochastic orders of scalar products with applications
- Stop-loss order for portfolios of dependent risks
- Sufficient conditions for ordering aggregate heterogeneous random claim amounts
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- Weighted risk capital allocations
Cited in
(9)- Functional characterizations of bivariate weak SAI with an application
- Increasing convex order on generalized aggregation of SAI random variables with applications
- On risk dependence and mrl ordering
- Parametric Schur convexity and arrangement monotonicity properties of partial sums
- Increasing convex order of capital allocation with dependent assets under threshold model
- Ordering properties of generalized aggregation with applications
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Stochastic comparisons of the largest and smallest claim amounts with heterogeneous survival exponentiated location-scale distributed claim severities
- Two sufficient conditions for convex ordering on risk aggregation
This page was built for publication: On the increasing convex order of generalized aggregation of dependent random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784394)
