Related papers: Ordering results for extreme claim amounts based o…

Let $\{X_{1},\ldots,X_{N_1}\}$ and $\{Y_{1},\ldots,Y_{N_2}\}$ be two sequences of interdependent heterogeneous samples, where for $i=1,\ldots,N_{1},$ $X_{i}\sim \text{Kw-G}(x, \alpha_{i}, \gamma_{i};G)$ and for $i=1,\ldots,N_{2},$…

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…

We propose some new results on the comparison of the minimum or maximum order statistic from a random number of non-identical random variables. Under the non-identical set-up, with certain conditions, we prove that random minimum (maximum)…

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…

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…

In this work, we consider two sets of dependent variables $\{X_{1},\ldots,X_{n}\}$ and $\{Y_{1},\ldots,Y_{n}\}$, where $X_{i}\sim EW(\alpha_{i},\lambda_{i},k_{i})$ and $Y_{i}\sim EW(\beta_{i},\mu_{i},l_{i})$, for $i=1,\ldots, n$, which are…

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…

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…

Let $X_1, X_2,\ldots, X_n$ (resp. $Y_1, Y_2,\ldots, Y_n$) be independent random variables such that $X_i$ (resp. $Y_i$) follows generalized exponential distribution with shape parameter $\theta_i$ and scale parameter $\lambda_i$ (resp.…

Stochastic dominance is a crucial tool for the analysis of choice under risk. It is typically analyzed as a property of two gambles that are taken in isolation. We study how additional independent sources of risk (e.g. uninsurable labor…

In this paper, we study stochastic ordering results between two finite mixtures with single and multiple outliers, assuming subpopulations follow general exponentiated location-scale distributions. For single-outlier mixtures, several…

In this paper, we focus on stochastic comparisons of extreme order statistics stemming from multiple-outlier scale models with dependence. Archimedean copula is used to model dependence structure among nonnegative random variables.…

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…

In this paper, we use a new partial order, called the f-majorization order. The new order includes as special cases the majorization , the reciprocal majorization and the p-larger orders. We provide a comprehensive account of the…

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…

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…

We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

The problem of ranking/ordering instances, instead of simply classifying them, has recently gained much attention in machine learning. In this paper we formulate the ranking problem in a rigorous statistical framework. The goal is to learn…

In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at risk in order over the whole confidence levels to avoid the…