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- Publisher Website: 10.1016/j.insmatheco.2020.03.004
- Scopus: eid_2-s2.0-85081997289
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Article: On the increasing convex order of generalized aggregation of dependent random variables
Title | On the increasing convex order of generalized aggregation of dependent random variables |
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Authors | |
Keywords | Generalized aggregation Stochastically arrangement increasing Increasing convex order Majorization Supermodular |
Issue Date | 2020 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2020, v. 92, p. 61-69 How to Cite? |
Abstract | In this article, we study stochastic properties of the generalized sum of right tail weakly stochastic arrangement increasing (RWSAI) nonnegative random variables accompanied with stochastic arrangement increasing (SAI) Bernoulli variables. In terms of monotonicity, supermodularity/submodularity, and convexity of the bivariate kernel function, sufficient conditions are developed for the increasing convex ordering on the generalized aggregation. Applications in actuarial science including the individual risk model and the reserving capital allocation are presented to highlight our results. |
Persistent Identifier | http://hdl.handle.net/10722/284856 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Y | - |
dc.contributor.author | Cheung, KC | - |
dc.date.accessioned | 2020-08-07T09:03:32Z | - |
dc.date.available | 2020-08-07T09:03:32Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2020, v. 92, p. 61-69 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/284856 | - |
dc.description.abstract | In this article, we study stochastic properties of the generalized sum of right tail weakly stochastic arrangement increasing (RWSAI) nonnegative random variables accompanied with stochastic arrangement increasing (SAI) Bernoulli variables. In terms of monotonicity, supermodularity/submodularity, and convexity of the bivariate kernel function, sufficient conditions are developed for the increasing convex ordering on the generalized aggregation. Applications in actuarial science including the individual risk model and the reserving capital allocation are presented to highlight our results. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.subject | Generalized aggregation | - |
dc.subject | Stochastically arrangement increasing | - |
dc.subject | Increasing convex order | - |
dc.subject | Majorization | - |
dc.subject | Supermodular | - |
dc.title | On the increasing convex order of generalized aggregation of dependent random variables | - |
dc.type | Article | - |
dc.identifier.email | Cheung, KC: kccg@hku.hk | - |
dc.identifier.authority | Cheung, KC=rp00677 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2020.03.004 | - |
dc.identifier.scopus | eid_2-s2.0-85081997289 | - |
dc.identifier.hkuros | 311502 | - |
dc.identifier.volume | 92 | - |
dc.identifier.spage | 61 | - |
dc.identifier.epage | 69 | - |
dc.identifier.isi | WOS:000532801300005 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |