Comparisons on aggregate risks from two sets of heterogeneous portfolios
DOI10.1016/J.INSMATHECO.2015.09.004zbMATH Open1348.91194OpenAlexW1879698327MaRDI QIDQ896754FDOQ896754
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.2015.09.004
increasing convex orderarrangement increasingscale modelmultivariate majorizationchain majorizationPHR model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30) Reliability, availability, maintenance, inspection in operations research (90B25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
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Cited In (18)
- Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
- Increasing convex order of capital allocation with dependent assets under threshold model
- Allocations of cold standbys to series and parallel systems with dependent components
- Sufficient conditions for ordering aggregate heterogeneous random claim amounts
- Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios
- On transform orders for largest claim amounts
- Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
- Ranking the extreme claim amounts in dependent individual risk models
- Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
- ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES
- Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios
- Ordering results for individual risk model with dependent Location-Scale claim severities
- ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS
- Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
- On the increasing convex order of generalized aggregation of dependent random variables
- Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model
- Optimal capital allocation for individual risk model using a mean-variance principle
- A comparison between homogeneous and heterogeneous portfolios.
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