Sufficient conditions for ordering aggregate heterogeneous random claim amounts

Chen Li; Xiaohu Li

doi:10.1016/j.insmatheco.2016.07.008

Sufficient conditions for ordering aggregate heterogeneous random claim amounts

Chen Li
, Xiaohu Li

Department of Mathematical Sciences

Tianjin University of Commerce

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	406-413
Number of pages	8
Journal	Insurance: Mathematics and Economics
Volume	70
DOIs	https://doi.org/10.1016/j.insmatheco.2016.07.008
State	Published - 1 Sep 2016

Keywords

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

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10.1016/j.insmatheco.2016.07.008

Cite this

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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).",

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AU - Li, Xiaohu

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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

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UR - https://www.scopus.com/pages/publications/84982085371#tab=citedBy

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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 -

Sufficient conditions for ordering aggregate heterogeneous random claim amounts

Abstract

Keywords

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