Two sufficient conditions for convex ordering on risk aggregation

DOI10.1155/2018/2937895zbMATH Open1470.60074OpenAlexW2786950955MaRDI QIDQ1667592FDOQ1667592

Chuancun Yin, Dan Zhu

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/2937895

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
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• Stochastic orders
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• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Stop-loss order for portfolios of dependent risks
• A sufficient condition of crossing type for the bivariate orthant convex order
• Comparison of multivariate risks and positive dependence
• Generalized correlation order and stop-loss order
• On the correlation order
• Supermodular ordering of Poisson arrays
• Comonotonicity, orthant convex order and sums of random variables

Cited In (5)

• Correction note to ``On the preservation of some orderings of risks under convolution
• General convex order on risk aggregation
• Risk reducers in convex order
• Remarks on equality of two distributions under some partial orders
• A unifying approach to constrained and unconstrained optimal reinsurance

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