2018/12/14 by Hossein Nadeb, Nadeb, Hossein, Hamzeh Torabi +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Economics and business #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Probability and Risk Models #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.1812.06166
openalex publication_date 2018/12/14 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
Let X\λ1,\…,X\λn be a set of dependent and\nnon-negative random variables share a survival copula and let Yi=\nIpiX\λi, i=1,\…,n, where Ip1,\…,Ipn be\nindependent Bernoulli random variables independent of X\λi's, with\n rm E[Ipi]=pi, i=1,\…,n. In actuarial sciences, Yi\ncorresponds to the claim amount in a portfolio of risks. This paper considers\ncomparing the smallest claim amounts from two sets of interdependent\nportfolios, in the sense of usual and likelihood ratio orders, when the\nvariables in one set have the parameters \λ1,\…,\λn and\np1,\…,pn and the variables in the other set have the parameters\n\λ*1,\…,\λ*n and p^*1,\…,p^*n. Also, we present\nsome bounds for survival function of the smallest claim amount in a portfolio.\nTo illustrate validity of the results, we serve some applicable models.\n