Two sufficient conditions for convex ordering on risk aggregation

DOI10.1155/2018/2937895MaRDI QIDQ1667592zbMATH OpenOpenAlexFDO

Authors Dan Zhu, Chuancun Yin

Publication date 30 August 2018

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• A sufficient condition of crossing type for the bivariate orthant convex order
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Comonotonicity, orthant convex order and sums of random variables
• Comparison of multivariate risks and positive dependence
• Extremal dependence concepts
• Generalized correlation order and stop-loss order
• Multivariate concordance
• On the correlation order
• Risk Measures and Comonotonicity: A Review
• Stochastic ordering of bivariate elliptical distributions
• Stochastic orders
• Stop-loss order for portfolios of dependent risks
• Supermodular ordering of Poisson arrays
• The safest dependence structure among risks.

Cited in

(10)

• Correction note to ``On the preservation of some orderings of risks under convolution
• Risk reducers in convex order
• A unifying approach to constrained and unconstrained optimal reinsurance
• Increasing convex order on generalized aggregation of SAI random variables with applications
• On the increasing convex order of generalized aggregation of dependent random variables
• Remarks on equality of two distributions under some partial orders
• A sufficient condition of crossing type for the bivariate orthant convex order
• A multivariate extension of the increasing convex order to compare risks
• On the correlation order
• General convex order on risk aggregation

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