Stochastic comparisons of capital allocations with applications
DOI10.1016/J.INSMATHECO.2011.12.004zbMATH Open1237.91141OpenAlexW2008658074MaRDI QIDQ414587FDOQ414587
Authors: Maochao Xu, Taizhong Hu 
Publication date: 11 May 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.12.004
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majorizationcapital allocationlikelihood ratio orderstochastic orderslog-concaveincreasing and convex order
Reliability and life testing (62N05) Sampling theory, sample surveys (62D05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30) Portfolio theory (91G10)
Cites Work
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- Log-concave probability and its applications
- Functions decreasing in transposition and their applications in ranking problems
- The concept of comonotonicity in actuarial science and finance: theory.
- Some inequalities of linear combinations of independent random variables. II
- Optimal allocation of policy limits and deductibles
- Worst VaR scenarios: A remark
- Weighted risk capital allocations
- To split or not to split: Capital allocation with convex risk measures
- Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
- An optimization approach to the dynamic allocation of economic capital
- Optimal allocation of policy limits and deductibles under distortion risk measures
- A review of selected topics in multivariate probability inequalities
- The concept of comonotonicity in actuarial science and finance: applications.
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- Extension of the bivariate characterization for stochastic orders
- An overview of comonotonicity and its applications in finance and insurance
- Decision principles derived from risk measures
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Worst allocations of policy limits and deductibles
Cited In (21)
- GlueVaR risk measures in capital allocation applications
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Optimal capital allocations to interdependent actuarial risks
- Increasing convex order of capital allocation with dependent assets under threshold model
- Ordering properties of generalized aggregation with applications
- Optimal allocation of policy deductibles for exchangeable risks
- Optimal capital allocation based on the tail mean-variance model
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Applications of axiomatic capital allocation and generalized weighted allocation
- On a robust risk measurement approach for capital determination errors minimization
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- ON ORDERINGS BETWEEN WEIGHTED SUMS OF RANDOM VARIABLES
- Functional characterizations of bivariate weak SAI with an application
- On the increasing convex order of generalized aggregation of dependent random variables
- Allocations of policy limits and ordering relations for aggregate remaining claims
- Management of a capital stock by Strotz's naive planner
- On capital allocation for stochastic arrangement increasing actuarial risks
- Optimal capital allocation for individual risk model using a mean-variance principle
- Analytical expression of the expected values of capital at voting in the stochastic environment
- Multiobjective optimization of credit capital allocation in financial institutions
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
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