On capital allocation for stochastic arrangement increasing actuarial risks

DOI10.1515/DEMO-2017-0010zbMATH Open1404.62109OpenAlexW2740832614MaRDI QIDQ1616355FDOQ1616355

Authors: Xiaoqing Pan, Xiaohu Li 

Publication date: 1 November 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0010

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• Stochastic comparisons of capital allocations with applications
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zbMATH Keywords

loss functionutility functionincreasing convex orderdiscount ratecoverage limits

Mathematics Subject Classification ID

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

Cites Work

• Inequalities: theory of majorization and its applications
• Statistical Size Distributions in Economics and Actuarial Sciences
• Comparison methods for stochastic models and risks
• Stochastic orders
• Multivariate arrangement increasing functions with applications in probability and statistics
• Functions decreasing in transposition and their applications in ranking problems
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• Optimal allocation of policy limits and deductibles
• Bivariate characterization of some stochastic order relations
• Some new notions of dependence with applications in optimal allocation problems
• Stochastic comparisons of weighted sums of arrangement increasing random variables
• Stochastic orders in reliability and risk. In honor of Professor Moshe Shaked. Based on the talks presented at the international workshop on stochastic orders in reliability and risk management, SORR2011, Xiamen, China, June 27--29, 2011
• On allocations to portfolios of assets with statistically dependent potential risk returns
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management
• To split or not to split: Capital allocation with convex risk measures
• An optimization approach to the dynamic allocation of economic capital
• Stochastic comparisons of capital allocations with applications
• On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
• Worst allocations of policy limits and deductibles
• Functional characterizations of bivariate weak SAI with an application
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas

Cited In (7)

• A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property
• Optimal capital allocations to interdependent actuarial risks
• Preservation of weak SAI's under increasing transformations with applications
• Stochastic comparisons of capital allocations with applications
• Ordering optimal deductible allocations for stochastic arrangement increasing risks
• On the increasing convex order of generalized aggregation of dependent random variables
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management

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