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

DOI10.1016/J.SPL.2007.03.016MaRDI QIDQ2643046zbMATH OpenOpenAlexFDO

Authors Moshe Shaked

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

reliability theoryshock modelsbankruptcyprobability generating function orderclaim models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5769798 (Why is no real title available?)
• Laplace transform ordering of actuarial quantities.
• Monotonicity and aging properties of random sums
• Multinomial model for random sums
• Negative ageing property of random sum
• Normal approximation for random sums
• On the preservation of the supermodular order under multivariate claim models
• Preservation of association in multivariate shock and claim models
• Preservation of multivariate dependence under multivariate claim models
• Preservation of multivariate stochastic orders under multivariate Poisson shock models
• Some new conditions for the increasing convex comparison of risks
• Stochastic Order Relations and Lattices of Probability Measures
• Stochastic comparisons for multivariate shock models
• Stochastic orders
• Variability of total claim amounts under dependence between claims severity and number of events
• Weak limits for multivariate random sums

Cited in

(6)

• A bivariate failure time model with random shocks and mixed effects
• A method for obtaining Laplace transforms of order statistics of Erlang random variables
• CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS
• Stochastic comparison of multivariate random sums
• Laplace transform ordering of actuarial quantities.
• Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims

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