Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications

DOI10.1016/j.spl.2007.03.016zbMath1120.60017OpenAlexW2053245665MaRDI QIDQ2643046

Shaked, Moshe

Publication date: 23 August 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.016

zbMATH Keywords

shock modelsreliability theorybankruptcyprobability generating function orderclaim models

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

A bivariate failure time model with random shocks and mixed effects ⋮ Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims

Cites Work

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• Monotonicity and aging properties of random sums
• Negative ageing property of random sum
• Variability of total claim amounts under dependence between claims severity and number of events
• On the preservation of the supermodular order under multivariate claim models
• Some new conditions for the increasing convex comparison of risks
• Preservation of multivariate stochastic orders under multivariate Poisson shock models
• Normal approximation for random sums
• Stochastic Order Relations and Lattices of Probability Measures

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