Permutation monotone functions of random vectors with applications in financial and actuarial risk management

Xiaohu Li, Yinping You

Research output: Contribution to journalArticlepeer-review

33 Scopus citations

Abstract

In this paper we develop two permutation theorems on argument increasing functions of a multivariate random vector and a real parameter vector. We use the unified approach of our two theorems to provide some important theoretical results on the capital allocation in actuarial science, the deductible and upper limit allocations in insurance policy, and portfolio allocation in financial engineering. Our results successfully improve or extend the corresponding works in the literature.

Original languageEnglish
Pages (from-to)270-291
Number of pages22
JournalAdvances in Applied Probability
Volume47
Issue number1
DOIs
StatePublished - 1 Mar 2015

Keywords

  • Archimedean copula
  • Arrangement increasing
  • Deductible
  • Distortion measure
  • Stochastic order
  • Upper limit
  • Utility function

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