Ordering results between the largest claims arising from two general heterogeneous portfolios
Risk Management
2021-04-20 v1 Probability
Abstract
This work is entirely devoted to compare the largest claims from two heterogeneous portfolios. It is assumed that the claim amounts in an insurance portfolio are nonnegative absolutely continuous random variables and belong to a general family of distributions. The largest claims have been compared based on various stochastic orderings. The established sufficient conditions are associated with the matrices and vectors of model parameters. Applications of the results are provided for the purpose of illustration.
Keywords
Cite
@article{arxiv.2104.08605,
title = {Ordering results between the largest claims arising from two general heterogeneous portfolios},
author = {Sangita Das and Suchandan Kayal},
journal= {arXiv preprint arXiv:2104.08605},
year = {2021}
}
Comments
22 pages, 5 figures