Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications

DOI10.1016/j.insmatheco.2015.01.010zbMath1314.91188OpenAlexW2027615931MaRDI QIDQ2347113

Ghobad Barmalzan, Amir T. Payandeh Najafabadi, Narayanaswamy Balakrishnan

Publication date: 26 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.010

zbMATH Keywords

Pareto distributionaggregate claim amountproportional hazard rates modelexponentiated Weibull distributionusual multivariate stochastic ordermultivariate chain majorization

Mathematics Subject Classification ID

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

Related Items (17)

ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ 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 ⋮ Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios ⋮ Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model ⋮ 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 ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ Sufficient conditions for ordering aggregate heterogeneous random claim amounts ⋮ Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities ⋮ On transform orders for largest claim amounts

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