Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
DOI10.1080/03461239950132642zbMATH Open0952.91041OpenAlexW2120661795MaRDI QIDQ4512140FDOQ4512140
Authors: Catherine Vermandele, Michel Denuit 
Publication date: 1 November 2000
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461239950132642
Recommendations
stochastic dominanceconvex orderdispersive orderLorenz orderoptimal reinsurancestop-loss orderArrow-Ohlin theoremVajda-Ohlin theoremexcess wealthorder loss ratios
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Optimal stochastic control (93E20)
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Cited In (17)
- Comparing tail variabilities of risks by means of the excess wealth order
- Stochastic comparisons of imperfect maintenance models for a gamma deteriorating system
- Optimal reinsurance with positively dependent risks
- Ordering results on extremes of exponentiated location-scale models
- Characterization of higher-degree dispersion, right spread and stop-loss transform orders
- Model selection based on Lorenz and concentration curves, Gini indices and convex order
- Majorization and the Lorenz order with applications in applied mathematics and economics
- Stochastic comparisons of distorted variability measures
- On sufficient conditions for the comparison in the excess wealth order and spacings
- Ordering Gini indexes of multivariate elliptical risks
- Optimal retention for a stop-loss reinsurance with incomplete information
- Convex order and comonotonic conditional mean risk sharing
- Title not available (Why is that?)
- On the second-order excess wealth order and its properties
- Comparison of risks based on the expected proportional shortfall
- Analytic expressions for multivariate Lorenz surfaces
- Some results for the comparison of generalized order statistics in the total time on test and excess wealth orders
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