TY - JOUR
T1 - Stochastic orders in time transformed exponential models with applications
AU - Li, Xiaohu
AU - Lin, Jianhua
PY - 2011/7
Y1 - 2011/7
N2 - This paper studies expectations of a supermodular function of bivariate random risks following TTE models. Comparison of such expectations are conducted based on some stochastic orders of the involved univariate survival functions in the models, and also the upper orthant-convex order between two bivariate random risks in TTE models is built. This corrects Theorem 2.3 of Mulero et al. (2010) and invalidates some results there. Some applications in actuarial science are presented as well.
AB - This paper studies expectations of a supermodular function of bivariate random risks following TTE models. Comparison of such expectations are conducted based on some stochastic orders of the involved univariate survival functions in the models, and also the upper orthant-convex order between two bivariate random risks in TTE models is built. This corrects Theorem 2.3 of Mulero et al. (2010) and invalidates some results there. Some applications in actuarial science are presented as well.
KW - Concave
KW - Stop loss transform order
KW - Supermodular
KW - Upper orthant-convex order
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U2 - 10.1016/j.insmatheco.2011.02.002
DO - 10.1016/j.insmatheco.2011.02.002
M3 - Article
AN - SCOPUS:79952321621
SN - 0167-6687
VL - 49
SP - 47
EP - 52
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 1
ER -