Monotonicity results for portfolios with heterogeneous claims arrival processes

DOI10.1016/j.insmatheco.2005.11.007zbMath1168.91412OpenAlexW2070775215MaRDI QIDQ2499828

Esther Frostig, Michel M. Denuit

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.007

zbMATH Keywords

risk measuresmajorizationSchur-increasingnessunivariate and multivariate stochastic orders

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (5)

Life anuities with stochastic survival probabilities: A review ⋮ Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure ⋮ CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS ⋮ Association and heterogeneity of insured lifetimes in the Lee–Carter framework ⋮ Heterogeneity and the need for capital in the individual model

Cites Work

• Majorization and the Lorenz order: a brief introduction
• Schur functions in statistics. I: The preservation theorem
• Schur functions in statistics. II: Stochastic majorization
• Stochastic Comparisons for Non-Markov Processes
• A new ordering for stochastic majorization: theory and applications
• Inequalities: theory of majorization and its applications
• Unnamed Item

This page was built for publication: Monotonicity results for portfolios with heterogeneous claims arrival processes