Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory

DOI10.1080/03461239950132642MaRDI QIDQ4512140zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic dominanceconvex orderdispersive orderLorenz orderoptimal reinsurancestop-loss orderArrow-Ohlin theoremVajda-Ohlin theoremexcess wealthorder loss ratios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 125964
• Comparison of individual risk models
• scientific article; zbMATH DE number 845459
• Optimal reinsurance and stop-loss order
• Orderings of risks through loss ratio

Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Convex majorization with an application to the length of critical paths
• Dispersive ordering by the spread function
• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• Increases in risk and deductible insurance
• Lorenz ordering of power-function order statistics
• Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
• Optimal reinsurance and stop-loss order
• Optimal reinsurance in relation to ordering of risks
• Ordering claim size distributions and mixed Poisson probabilities
• Ordering of risks: a review
• Orderings of risks through loss ratio
• Orderings of risks: A comparative study via stop-loss transforms
• Phase-type distributions and majorization
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• The utility of deductibles from the insurer's point of view
• Two Variability Orders

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
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Ordering results on extremes of exponentiated location-scale models
• Characterization of higher-degree dispersion, right spread and stop-loss transform orders
• 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
• scientific article; zbMATH DE number 3938391 (Why is no real title available?)
• 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

This page was built for publication: Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512140)