Risk reducers in convex order

Junnan He, Qihe Tang and Huan Zhang

Insurance: Mathematics and Economics, 2016, vol. 70, issue C, 80-88

Abstract: Given a risk position X, a random addition Z is called a risk reducer for X if the new position X+Z is less risky than X+E[Z] in convex order. We utilize the concept of convex hull to give a structural description of risk reducers in the case of an atomless probability space. Then we study risk reducers that are fully dependent on X. Applications to multivariate stochastic ordering, index-linked hedging strategies, and optimal reinsurance are proposed.

Keywords: Convex hull; Co/counter-monotonicity; Multivariate stochastic ordering; Index-linked hedging strategies; Optimal reinsurance (search for similar items in EconPapers)
JEL-codes: C44 C73 G22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:70:y:2016:i:c:p:80-88

DOI: 10.1016/j.insmatheco.2016.05.009

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