On risk dependence and mrl ordering

DOI10.1016/j.spl.2005.07.012zbMath1086.62118OpenAlexW2004416839MaRDI QIDQ2489796

Esther Frostig

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.07.012

zbMATH Keywords

Fréchet boundsConcordance orderingSupermodular orderingDecreasing mean residual life timeMean residual life time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Median Inactivity Time Function and its Reliability Properties ⋮ 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 ⋮ Comparison of multi-stage dose-response mixture models, with applications ⋮ On quantile reversed residual lifetime and its aging properties ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ On transform orders for largest claim amounts

Cites Work

• Inequalities for distributions with given marginals
• On dependence of risks and stop-loss premiums
• Mean residual life and increasing convex comparison of shock models
• On the dependency of risks in the individual life model
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
• The safest dependence structure among risks.
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Partial orderings under cumulative damage shock models
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