Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Wei Wei
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Wei Wei: Department of Mathematical Sciences, University of Wisconsin-Milwaukee, PO Box 413, Milwaukee, WI 53201, USA

Risks, 2018, vol. 6, issue 2, 1-12

Abstract: There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.

Keywords: arrangement increasing function; majorization; stochastic arrangement increasing; stochastic orders; optimal allocations (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
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