Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios
DOI10.1080/03610926.2017.1343844OpenAlexW2728028331MaRDI QIDQ5160212FDOQ5160212
Authors: Ghobad Barmalzan, Amir T. Payandeh Najafabadi, Narayanaswamy Balakrishnan 
Publication date: 28 October 2021
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1343844
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value-at-risknegatively associatedtail-value-at-riskmultivariate chain majorizationMarshall-Olkin extended exponential distributionaggregate claim amountspositive cumulative dependence
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
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Cited In (4)
- Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications
- Ranking the extreme claim amounts in dependent individual risk models
- Ordering results for aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios and their applications in insurance analysis
- Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios
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