Sufficient conditions for ordering aggregate heterogeneous random claim amounts

Chen Li and Xiaohu Li

Insurance: Mathematics and Economics, 2016, vol. 70, issue C, 406-413

Abstract: This note has a revisit to stochastic comparison on aggregate claim amounts. We develop sufficient conditions for the usual stochastic order on aggregate claim amounts of independent claim sizes and with a common occurrence frequency vector. Besides, we obtain the usual stochastic order on aggregate claim amounts with a common WSAI claim size vector, and this also improves Theorem 4.6 of Zhang and Zhao (2015).

Keywords: Majorization; Proportional reversed hazards; Usual stochastic order; WSAI; Arrangement increasing; Schur-concave (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:70:y:2016:i:c:p:406-413

DOI: 10.1016/j.insmatheco.2016.07.008

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