Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

DOI10.1016/J.CAM.2023.115265MaRDI QIDQ6137789zbMATH OpenOpenAlexFDO

Authors Jian-Dong Zhang, Rongfang Yan, Yiying Zhang

Publication date 4 September 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2023.115265

zbMATH Keywords

copulamajorizationstochastic orderslargest claim amount

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Inequalities; stochastic orderings (60E15)

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Cited in

(25)

• On heterogeneity in the individual model with both dependent claim occurrences and severities
• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• Ordering properties of extreme claim amounts from heterogeneous portfolios
• Stochastic comparisons of the smallest and largest claim amounts with scale proportional hazard claim severities
• On a family of risk measures based on largest claims
• Sufficient conditions for ordering aggregate heterogeneous random claim amounts
• Stochastic comparisons of second largest order statistics with dependent heterogeneous random variables
• Increasing convex order of capital allocation with dependent assets under threshold model
• Analyzing wind turbine and wind farm outputs under dependence between wind speed and wind turbine availability
• On multivariate orderings of some general ordered random vectors
• Stochastic comparisons between the extreme claim amounts from two heterogeneous portfolios in the case of transmuted-G model
• On transform orders for largest claim amounts
• Ranking the extreme claim amounts in dependent individual risk models
• Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
• Usual stochastic orderings of the second smallest order statistics with dependent semi-parametric distribution random variables
• Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios
• Stochastic comparisons of largest claim amounts from heterogeneous portfolios
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Stochastic comparisons of the largest and smallest claim amounts with heterogeneous survival exponentiated location-scale distributed claim severities
• Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
• Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities
• Comparisons on aggregate risks from two sets of heterogeneous portfolios
• Ordering results for aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios and their applications in insurance analysis
• Reliability estimation of s -out-of- k system with Kumaraswamy distribution based on partially constant stress accelerated life tests
• Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios

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