Allocations of policy limits and ordering relations for aggregate remaining claims

DOI10.1016/J.INSMATHECO.2015.08.003MaRDI QIDQ896204zbMATH OpenOpenAlexFDO

Authors Sirous Fathi Manesh, Baha-Eldin Khaledi

Publication date 14 December 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.08.003

zbMATH Keywords

stochastic dominancemajorizationlikelihood ratio orderreversed hazard rate orderhazard rate orderexchangeable random variablesarrangement decreasingSchur concave function

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2172354 (Why is no real title available?)
• Comparison methods for stochastic models and risks
• Comparisons Among Estimators of a Scale Parameter of the Beta-Stacy Distribution
• Functions decreasing in transposition and their applications in ranking problems
• Inequalities: theory of majorization and its applications
• Optimal allocation of policy limits and deductibles
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Optimal capital allocations to interdependent actuarial risks
• Statistical Size Distributions in Economics and Actuarial Sciences
• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Stochastic comparisons of capital allocations with applications
• Stochastic orders
• Stochastic orders of scalar products with applications
• Worst allocations of policy limits and deductibles

Cited in

(8)

• Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages
• Ordering properties of generalized aggregation with applications
• Arrangement increasing resource allocation
• Stochastic orders of scalar products with applications
• Increasing convex order on generalized aggregation of SAI random variables with applications
• Optimal allocation of policy limits in layer reinsurance treaties
• On the increasing convex order of generalized aggregation of dependent random variables
• Some new results on policy limit allocations

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