Stochastic orders in time transformed exponential models with applications

Xiaohu Li, Jianhua Lin

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)47-52
Number of pages6
JournalInsurance: Mathematics and Economics
Volume49
Issue number1
DOIs
StatePublished - Jul 2011

Keywords

  • Concave
  • Stop loss transform order
  • Supermodular
  • Upper orthant-convex order

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