Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

被引：7

作者：

Zhang, Jiandong ^{[1
]}

Yan, Rongfang ^{[1
]}

Zhang, Yiying ^{[2
]}

机构：

[1] Northwest Normal Univ, Coll Math & Stat, Lanzhou 730070, Gansu, Peoples R China

[2] Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2023年 / 431卷

基金：

中国国家自然科学基金;

关键词：

Largest claim amount; Copula; Majorization; Stochastic orders; ORDER-STATISTICS; PARALLEL SYSTEMS; SCALE; SMALLEST; TRANSFORM; VARIABLES; MODEL; SHAPE;

D O I：

10.1016/j.cam.2023.115265

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper investigates the usual stochastic and hazard rate orders between the largest claim amounts from two sets of heterogeneous and dependent insurance portfolios. Sufficient conditions are established in terms of the dependence structure and the het-erogeneity among claim severities when the occurrence probabilities are stochastically arrangement increasing. These newly established results generalize or complement some earlier results studied in Balakrishnan et al. (2018b) and Zhang et al. (2019). Numerical examples are provided to illustrate the theoretical findings.(c) 2023 Elsevier B.V. All rights reserved.

引用

页数：13

共 41 条

[1] Stochastic comparisons of largest claim amounts from heterogeneous portfolios
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[2] STOCHASTIC COMPARISONS OF THE LARGEST CLAIM AMOUNTS FROM TWO SETS OF INTERDEPENDENT HETEROGENEOUS PORTFOLIOS
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[10] Stochastic comparisons of second largest order statistics with dependent heterogeneous random variables
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[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024,

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