TY - JOUR
T1 - Permutation monotone functions of random vectors with applications in financial and actuarial risk management
AU - Li, Xiaohu
AU - You, Yinping
N1 - Publisher Copyright:
© Applied Probability Trust 2015.
PY - 2015/3/1
Y1 - 2015/3/1
N2 - 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.
AB - 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.
KW - Archimedean copula
KW - Arrangement increasing
KW - Deductible
KW - Distortion measure
KW - Stochastic order
KW - Upper limit
KW - Utility function
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U2 - 10.1239/aap/1427814591
DO - 10.1239/aap/1427814591
M3 - Article
AN - SCOPUS:84902533114
SN - 0001-8678
VL - 47
SP - 270
EP - 291
JO - Advances in Applied Probability
JF - Advances in Applied Probability
IS - 1
ER -