Ordering scalar products with applications in financial engineering and actuarial science

DOI10.1017/JPR.2015.7zbMATH Open1335.60016OpenAlexW2295906027MaRDI QIDQ2804411FDOQ2804411

Authors Yinping You, Xiaohu Li 

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

zbMATH Keywords

Archimedean copulamajorizationdeductibleupper tail permutation decreasingcoverage limit

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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Cites Work

• scientific article; zbMATH DE number 2188756 (Why is no real title available?)
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Asset proportions in optimal portfolios with dependent default risks
• Convex orders for linear combinations of random variables
• Inequalities: theory of majorization and its applications
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Optimal capital allocations to interdependent actuarial risks
• Optimal portfolio problem with unknown dependency structure
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management
• Some new notions of dependence with applications in optimal allocation problems
• Stochastic orders of scalar products with applications
• The Use of Archimedean Copulas to Model Portfolio Allocations

Cited In (9)

• 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
• Stochastic orders of scalar products with applications
• Ordering results for individual risk model with dependent Location-Scale claim severities
• On the increasing convex order of generalized aggregation of dependent random variables
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management
• On heterogeneity in the individual model with both dependent claim occurrences and severities

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