Ordering scalar products with applications in financial engineering and actuarial science
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Publication:2804411
DOI10.1017/JPR.2015.7zbMATH Open1335.60016OpenAlexW2295906027MaRDI QIDQ2804411FDOQ2804411
Publication date: 29 April 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1457470557
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Cites Work
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- Inequalities: theory of majorization and its applications
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Some new notions of dependence with applications in optimal allocation problems
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- The Use of Archimedean Copulas to Model Portfolio Allocations
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- Asset proportions in optimal portfolios with dependent default risks
- Optimal capital allocations to interdependent actuarial risks
- Optimal allocation of policy limits and deductibles under distortion risk measures
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- Stochastic orders of scalar products with applications
- Convex orders for linear combinations of random variables
- Optimal portfolio problem with unknown dependency structure
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
Cited In (7)
- On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Preservation of weak SAI's under increasing transformations with applications
- Joint stochastic orders of high degrees and their applications in portfolio selections
- ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES
- Ordering results for individual risk model with dependent Location-Scale claim severities
- On the increasing convex order of generalized aggregation of dependent random variables
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