Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications

Ghobad Barmalzan, Amir Payandeh and Narayanaswamy Balakrishnan

Insurance: Mathematics and Economics, 2015, vol. 61, issue C, 235-241

Abstract: The aggregate claim amount in a particular time period is a quantity of fundamental importance for proper management of an insurance company and also for pricing of insurance coverages. In this paper, we show that the proportional hazard rates (PHR) model, which includes some well-known distributions such as exponential, Weibull and Pareto distributions, can be used as the aggregate claim amount distribution. We also present some conditions for the use of exponentiated Weibull distribution as the claim amount distribution. The results established here complete and extend the well-known result of Khaledi and Ahmadi (2008).

Keywords: Aggregate claim amount; Exponentiated Weibull distribution; Pareto distribution; Multivariate chain majorization; Usual multivariate stochastic order; Proportional hazard rates model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:61:y:2015:i:c:p:235-241

DOI: 10.1016/j.insmatheco.2015.01.010

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