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Article: Stochastic orders of scalar products with applications
Title | Stochastic orders of scalar products with applications |
---|---|
Authors | |
Keywords | Arrangement Increasing Function Comonotonicity Increasing Convex Order Scalar Product Stochastic Orders Weak Majorization |
Issue Date | 2008 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2008, v. 42 n. 3, p. 865-872 How to Cite? |
Abstract | In this paper, we study stochastic orders of scalar products of random vectors. Based on the study of Ma [Ma, C., 2000. Convex orders for linear combinations of random variables. J. Statist. Plann. Inference 84, 11-25], we first obtain more general conditions under which linear combinations of random variables can be ordered in the increasing convex order. As an application of this result, we consider the scalar product of two random vectors which separates the severity effect and the frequency effect in the study of the optimal allocation of policy limits and deductibles. Finally, we obtain the ordering of the optimal allocation of policy limits and deductibles when the dependence structure of the losses is unknown. This application is a further study of Cheung [Cheung, K.C., 2007. Optimal allocation of policy limits and deductibles. Insurance: Math. Econom. 41, 382-391]. © 2007 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172447 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hua, L | en_US |
dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:34Z | - |
dc.date.available | 2012-10-30T06:22:34Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2008, v. 42 n. 3, p. 865-872 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172447 | - |
dc.description.abstract | In this paper, we study stochastic orders of scalar products of random vectors. Based on the study of Ma [Ma, C., 2000. Convex orders for linear combinations of random variables. J. Statist. Plann. Inference 84, 11-25], we first obtain more general conditions under which linear combinations of random variables can be ordered in the increasing convex order. As an application of this result, we consider the scalar product of two random vectors which separates the severity effect and the frequency effect in the study of the optimal allocation of policy limits and deductibles. Finally, we obtain the ordering of the optimal allocation of policy limits and deductibles when the dependence structure of the losses is unknown. This application is a further study of Cheung [Cheung, K.C., 2007. Optimal allocation of policy limits and deductibles. Insurance: Math. Econom. 41, 382-391]. © 2007 Elsevier B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Arrangement Increasing Function | en_US |
dc.subject | Comonotonicity | en_US |
dc.subject | Increasing Convex Order | en_US |
dc.subject | Scalar Product | en_US |
dc.subject | Stochastic Orders | en_US |
dc.subject | Weak Majorization | en_US |
dc.title | Stochastic orders of scalar products with applications | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
dc.identifier.authority | Cheung, KC=rp00677 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2007.10.004 | en_US |
dc.identifier.scopus | eid_2-s2.0-43849106017 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-43849106017&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 42 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 865 | en_US |
dc.identifier.epage | 872 | en_US |
dc.identifier.isi | WOS:000257002100001 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Hua, L=24080183600 | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.issnl | 0167-6687 | - |