Ordering scalar products with applications in financial engineering and actuarial science

Yinping You; Xiaohu Li

doi:10.1017/jpr.2015.7

Ordering scalar products with applications in financial engineering and actuarial science

Yinping You, Xiaohu Li

Department of Mathematical Sciences

Huaqiao University

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

In this paper we build the increasing convex (concave) order for the scalar product of random vectors with an upper (lower) tail permutation decreasing joint density. As applications, we revisit allocations of portfolio risks in financial engineering and of coverage limits and deductibles in insurance. Some related results in the literature are substantially updated.

Original language	English
Pages (from-to)	47-56
Number of pages	10
Journal	Journal of Applied Probability
Volume	53
Issue number	1
DOIs	https://doi.org/10.1017/jpr.2015.7
State	Published - Mar 2016

Keywords

Archimedean copula
Coverage limit
Deductible
Majorization
Upper tail permutation decreasing

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10.1017/jpr.2015.7

Cite this

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abstract = "In this paper we build the increasing convex (concave) order for the scalar product of random vectors with an upper (lower) tail permutation decreasing joint density. As applications, we revisit allocations of portfolio risks in financial engineering and of coverage limits and deductibles in insurance. Some related results in the literature are substantially updated.",

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KW - Deductible

KW - Majorization

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Ordering scalar products with applications in financial engineering and actuarial science

Abstract

Keywords

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