Related papers: Ordering results between the largest claims arisin…
Let $ X_{\lambda_1},\ldots,X_{\lambda_n}$ be dependent non-negative random variables and $Y_i=I_{p_i} X_{\lambda_i}$, $i=1,\ldots,n$, where $I_{p_1},\ldots,I_{p_n}$ are independent Bernoulli random variables independent of…
Consider two sequences of heterogeneous and independent portfolios of risks $T_1,T_2,\ldots$ and $T^*_{1}, T^*_{2},\ldots$ and, let $N_1$ and $N_2$ be two positive integer-valued random variables, independent of $T_i'$ and $T^*_i$,…
Let $ X_{\lambda_1},\ldots,X_{\lambda_n}$ be a set of dependent and non-negative random variables share a survival copula and let $Y_i= I_{p_i}X_{\lambda_i}$, $i=1,\ldots,n$, where $I_{p_1},\ldots,I_{p_n}$ be independent Bernoulli random…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
Let $X_{\lambda_1}, \ldots , X_{\lambda_n}$ be independent non-negative random variables belong to the transmuted-G model and let $Y_i=I_{p_i} X_{\lambda_i}$, $i=1,\ldots,n$, where $I_{p_1}, \ldots, I_{p_n}$ are independent Bernoulli random…
This manuscript investigates the stochastic comparisons of the second-order statistics from dependent and heterogeneous general semi-parametric family of distributions observations. Some sufficient conditions on the usual stochastic order…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
In this paper, we compare extreme order statistics through vector majorization arising from heterogeneous Poisson and geometric random variables. These comparisons are carried out with respect to usual stochastic ordering.
The Gompertz-Makeham distribution, which is used commonly to represent lifetimes based on laws of mortality, is one of the most popular choices for mortality modelling in the field of actuarial science. This paper investigates ordering…
Stochastic comparisons of series and parallel systems are important in many areas of engineering, operations research and reliability analysis. These comparisons allow for the evaluation of the performance and reliability of systems under…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
The second-largest order statistic is of special importance in reliability theory since it represents the time to failure of a $2$-out-of-$n$ system. Consider two $2$-out-of-$n$ systems with heterogeneous random lifetimes. The lifetimes are…
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
We suggest a general method for analyzing aggregate insurance claims that arrive according to a very general point process, known in the literature as the order statistic point process, which includes as special cases the classical compound…
Motivated by fairness concerns, we study the `portfolio problem': given an optimization problem with set $D$ of feasible solutions, a class $\mathbf{C}$ of fairness objective functions on $D$, and an approximation factor $\alpha \ge 1$, a…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
In this paper, we investigate various stochastic orderings for series and parallel systems with independent and heterogeneous components having lifetimes following the proportional odds model. We also investigate comparisons between system…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…