Stochastic comparisons of capital allocations with applications

Maochao Xu and Taizhong Hu

Insurance: Mathematics and Economics, 2012, vol. 50, issue 3, 293-298

Abstract: This paper studies capital allocation problems using a general loss function. Stochastic comparisons are conducted for general loss functions in several scenarios: independent and identically distributed risks; independent but non-identically distributed risks; comonotonic risks. Applications in optimal capital allocations and policy limits allocations are discussed as well.

Keywords: Capital allocation; Increasing and convex order; Likelihood ratio order; Log-concave; Majorization; Stochastic orders (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:3:p:293-298

DOI: 10.1016/j.insmatheco.2011.12.004

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