Comparisons on aggregate risks from two sets of heterogeneous portfolios
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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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Cites work
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Cited in
(21)- Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications
- 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
- A comparison between homogeneous and heterogeneous portfolios.
- On the increasing convex order of generalized aggregation of dependent random variables
- Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
- Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
- Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios
- Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
- Increasing convex order of capital allocation with dependent assets under threshold model
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- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Ordering results for aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios and their applications in insurance analysis
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- Ordering results for individual risk model with dependent Location-Scale claim severities
- Ordering properties of extreme claim amounts from heterogeneous portfolios
- Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
- Sufficient conditions for ordering aggregate heterogeneous random claim amounts
- Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios
- Monotonicity results for portfolios with heterogeneous claims arrival processes
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