TY - JOUR
T1 - Sufficient conditions for ordering aggregate heterogeneous random claim amounts
AU - Li, Chen
AU - Li, Xiaohu
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/9/1
Y1 - 2016/9/1
N2 - 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).
AB - 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).
KW - Arrangement increasing
KW - Majorization
KW - Proportional reversed hazards
KW - Schur-concave
KW - Usual stochastic order
KW - WSAI
UR - http://www.scopus.com/inward/record.url?scp=84982085371&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84982085371&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2016.07.008
DO - 10.1016/j.insmatheco.2016.07.008
M3 - Article
AN - SCOPUS:84982085371
SN - 0167-6687
VL - 70
SP - 406
EP - 413
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -