On risk dependence and mrl ordering

DOI10.1016/J.SPL.2005.07.012zbMATH Open1086.62118OpenAlexW2004416839MaRDI QIDQ2489796FDOQ2489796

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

Recommendations

• On the increasing convex order of generalized aggregation of dependent random variables
• Some results on dependent random variables and a connection with the multivariate \(\mathbf s\)-increasing convex order
• Comparison of multivariate risks and positive dependence
• Comonotonicity, orthant convex order and sums of random variables
• Multivariate Stochastic Orderings and Positive Dependence in Reliability Theory

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Comparison methods for stochastic models and risks
• Inequalities for distributions with given marginals
• The safest dependence structure among risks.
• Mean residual life and increasing convex comparison of shock models
• On dependence of risks and stop-loss premiums
• On the dependency of risks in the individual life model
• Title not available (Why is that?)
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Partial orderings under cumulative damage shock models

Cited In (7)

• 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
• Ordering results for individual risk model with dependent Location-Scale claim severities
• On quantile reversed residual lifetime and its aging properties
• On heterogeneity in the individual model with both dependent claim occurrences and severities

This page was built for publication: On risk dependence and mrl ordering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2489796)