On risk dependence and mrl ordering

DOI10.1016/J.SPL.2005.07.012MaRDI QIDQ2489796zbMATH OpenOpenAlexFDO

Authors 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

Concordance orderingSupermodular orderingDecreasing mean residual life timeMean residual life timeFréchet bounds

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3385036 (Why is no real title available?)
• Comparison methods for stochastic models and risks
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
• Inequalities for distributions with given marginals
• Mean residual life and increasing convex comparison of shock models
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• On dependence of risks and stop-loss premiums
• On the dependency of risks in the individual life model
• Partial orderings under cumulative damage shock models
• The safest dependence structure among risks.

Cited in

(7)

• On heterogeneity in the individual model with both dependent claim occurrences and severities
• Median inactivity time function and its reliability properties
• On transform orders for largest claim amounts
• Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
• Comparison of multi-stage dose-response mixture models, with applications
• On quantile reversed residual lifetime and its aging properties
• Ordering results for individual risk model with dependent Location-Scale claim severities

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