Convex orders for linear combinations of random variables

DOI10.1016/S0378-3758(99)00143-3zbMath1131.60303MaRDI QIDQ1972157

Chunsheng Ma

Publication date: 23 March 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Stochastic dominanceMajorizationStochastic orderLikelihood ratio orderReversed hazard rate orderConvex orderArrangement increasingDecreasing convex orderLaplace order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items (41)

A note on multivariate stochastic comparisons of Bernoulli random variables ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Dispersive ordering-some applications and examples ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ Ordering properties of the smallest and largest claim amounts in a general scale model ⋮ Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims ⋮ Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios ⋮ Stochastic comparisons of weighted sums of arrangement increasing random variables ⋮ A note on second-order stochastic dominance for linear combinations of dependent Bernoulli random variables ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios ⋮ On stochastic comparison between aggregate claim amounts ⋮ Some inequalities of linear combinations of independent random variables. II ⋮ A comparison between homogeneous and heterogeneous portfolios. ⋮ Portfolio selection through an extremality stochastic order ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Reliability analysis of the proportional mean residual life order ⋮ Stochastic orders of scalar products with applications ⋮ Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ On the convex transform and right-spread orders of smallest claim amounts ⋮ Ordering Results for Aggregate Claim Amounts from Two Heterogeneous Marshall--Olkin Extended Exponential Portfolios and Their Applications in Insurance Analysis ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ ORDERING CONVOLUTIONS OF HETEROGENEOUS EXPONENTIAL AND GEOMETRIC DISTRIBUTIONS REVISITED ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ ON ORDERINGS BETWEEN WEIGHTED SUMS OF RANDOM VARIABLES ⋮ Stochastic comparisons for allocations of policy limits and deductibles with applications ⋮ On the mean residual life order of convolutions of independent uniform random variables ⋮ A note on the portfolio selection problem ⋮ On an inequality of Karlin and Rinott concerning weighted sums of i.i.d. random variables ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Dispersive ordering among linear combinations of uniform random variables ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Sufficient conditions for ordering aggregate heterogeneous random claim amounts ⋮ On the Convolution of Heterogeneous Bernoulli Random Variables ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach ⋮ On the increasing convex order of generalized aggregation of dependent random variables ⋮ Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities ⋮ On transform orders for largest claim amounts ⋮ A note on relationships between some univariate stochastic orders and the corresponding joint stochastic orders ⋮ Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications

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