On the increasing convex order of generalized aggregation of dependent random variables

DOI10.1016/J.INSMATHECO.2020.03.004zbMATH Open1445.91056OpenAlexW3011093293MaRDI QIDQ784394FDOQ784394

Yiying Zhang, K. C. Cheung

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.03.004

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zbMATH Keywords

majorizationstochastically arrangement increasingincreasing convex ordersubmodulargeneralized aggregationsupermodular

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Sums of independent random variables; random walks (60G50)

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Cited In (4)

• Increasing convex order of capital allocation with dependent assets under threshold model
• Ordering properties of generalized aggregation with applications
• Parametric Schur convexity and arrangement monotonicity properties of partial sums
• Stochastic comparisons of the largest and smallest claim amounts with heterogeneous survival exponentiated location-scale distributed claim severities

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