Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076484 | Insurance: Mathematics and Economics | 2015 | 15 Pages |
Abstract
Let X1,â¦,Xn be a set of n risks, with decreasing joint density function f, faced by a policyholder who is insured for this n risks, with upper limit coverage for each risk. Let l=(l1,â¦ln) and lâ=(l1â,â¦lnâ) be two vectors of policy limits such that lâ is majorized by l. It is shown that âi=1n(Xiâli)+ is larger than âi=1n(Xiâliâ)+ according to stochastic dominance if f is exchangeable. It is also shown that âi=1n(Xiâl(i))+ is larger than âi=1n(Xiâl(i)â)+ according to stochastic dominance if either f is a decreasing arrangement or X1,â¦,Xn are independent and ordered according to the reversed hazard rate ordering. We apply the new results to multivariate Pareto distribution.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Sirous Fathi Manesh, Baha-Eldin Khaledi,