Sufficient conditions for ordering aggregate heterogeneous random claim amounts

Chen Li, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

This note has a revisit to stochastic comparison on aggregate claim amounts. We develop sufficient conditions for the usual stochastic order on aggregate claim amounts of independent claim sizes and with a common occurrence frequency vector. Besides, we obtain the usual stochastic order on aggregate claim amounts with a common WSAI claim size vector, and this also improves Theorem 4.6 of Zhang and Zhao (2015).

Original languageEnglish
Pages (from-to)406-413
Number of pages8
JournalInsurance: Mathematics and Economics
Volume70
DOIs
StatePublished - 1 Sep 2016

Keywords

  • Arrangement increasing
  • Majorization
  • Proportional reversed hazards
  • Schur-concave
  • Usual stochastic order
  • WSAI

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