Article ID Journal Published Year Pages File Type
5076484 Insurance: Mathematics and Economics 2015 15 Pages PDF
Abstract
Let X1,…,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,…ln) and l∗=(l1∗,…ln∗) be two vectors of policy limits such that l∗ is majorized by l. It is shown that ∑i=1n(Xi−li)+ is larger than ∑i=1n(Xi−li∗)+ according to stochastic dominance if f is exchangeable. It is also shown that ∑i=1n(Xi−l(i))+ is larger than ∑i=1n(Xi−l(i)∗)+ according to stochastic dominance if either f is a decreasing arrangement or X1,…,Xn are independent and ordered according to the reversed hazard rate ordering. We apply the new results to multivariate Pareto distribution.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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