Ordering claim size distributions and mixed Poisson probabilities

DOI10.1016/0167-6687(95)00023-LzbMath0836.62085WikidataQ126820108 ScholiaQ126820108MaRDI QIDQ1905001

Ole Hesselager, Rob Kaas

Publication date: 6 May 1996

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

lognormal distributionsmixing distributionsinverse GaussianGammaclaim size distributionsseverity distributionsmixed Poisson modelsorderings between continuous distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (16)

S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations ⋮ Measuring the impact of dependence between claims occurrences. ⋮ On the \(n\)th stop-loss transform order of ruin probability. ⋮ Ordering Results for Aggregate Claim Amounts from Two Heterogeneous Marshall--Olkin Extended Exponential Portfolios and Their Applications in Insurance Analysis ⋮ Multivariate higher-degree stochastic increasing convexity ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Stop-Loss Transformierte eines höheren Grades und stochastische Ordnungen - (I) Theorie;Higher degree stop-loss transforms and stochastic orders — (I) Theory ⋮ Bayesian Analysis of Poisson Regression with Lognormal Unobserved Heterogeneity: With an Application to the Patent-R&D Relationship ⋮ On the stop-loss transform and order for the surplus process perturbed by diffusion ⋮ A separation theorem for the weak \(s\)-convex orders ⋮ On the ordering of ruin probabilities for the surplus process perturbed by diffusion ⋮ Optimal reinsurance and stop-loss order ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings ⋮ Ordering Ruin Probabilities Resulting from Layer-Based Claim Amounts for Surplus Process Perturbed by Diffusion ⋮ Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory

Cites Work

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• From the generalized gamma to the generalized negative binomial distribution
• Stop-loss order, unequal means, and more dangerous distributions
• Optimal reinsurance in relation to ordering of risks
• Order relations for some distributions
• A recursive procedure for calculation of some mixed compound poisson distributions

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