Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management

DOI10.1239/aap/1427814591zbMath1311.91128OpenAlexW1981337189MaRDI QIDQ5246181

Yinping You, Xiaohu Li

Publication date: 17 April 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1427814591

zbMATH Keywords

stochastic orderutility functionArchimedean copuladeductiblearrangement increasingupper limitdistortion measure

Mathematics Subject Classification ID

Related Items (25)

On capital allocation for stochastic arrangement increasing actuarial risks ⋮ Arrangement increasing resource allocation ⋮ On coverage limits and deductibles for SAI loss severities ⋮ RESIDUAL STOCHASTIC PRECEDENCE ORDER ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property ⋮ Ordering optimal deductible allocations for stochastic arrangement increasing risks ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ On active redundancy allocation for coherent systems -- from the viewpoint of minimal cut decomposition ⋮ Preservation of weak stochastic arrangement increasing under fixed time left-censoring ⋮ ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Ordering k-out-of-n systems with interdependent components and one active redundancy ⋮ Preservation of weak SAI's under increasing transformations with applications ⋮ Comparison of hazard rates for dependent random variables ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Sufficient conditions for ordering aggregate heterogeneous random claim amounts ⋮ On asset allocation for a threshold model with dependent returns ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

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