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On the increasing convex order of generalized aggregation of dependent random variables

Yiying Zhang and Ka Chun Cheung

Insurance: Mathematics and Economics, 2020, vol. 92, issue C, 61-69

Abstract: In this article, we study stochastic properties of the generalized sum of right tail weakly stochastic arrangement increasing (RWSAI) nonnegative random variables accompanied with stochastic arrangement increasing (SAI) Bernoulli variables. In terms of monotonicity, supermodularity/submodularity, and convexity of the bivariate kernel function, sufficient conditions are developed for the increasing convex ordering on the generalized aggregation. Applications in actuarial science including the individual risk model and the reserving capital allocation are presented to highlight our results.

Keywords: Generalized aggregation; Stochastically arrangement increasing; Increasing convex order; Majorization; Supermodular; Submodular (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69

DOI: 10.1016/j.insmatheco.2020.03.004

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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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