Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
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Publication:2181729
DOI10.1016/j.jmva.2020.104620zbMath1441.62257OpenAlexW3014857143MaRDI QIDQ2181729
Saeed Ariyafar, Mahbanoo Tata, Mohsen Rezapour, Mohsen Madadi
Publication date: 19 May 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104620
stochastic orderingmajorizationArchimedean copulausual stochastic orderingLaplace transform ordering
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)
Related Items
Stochastic comparisons of largest claim amounts from heterogeneous portfolios, Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios
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