Ordering results for individual risk model with dependent Location-Scale claim severities

Sameen Naqvi, Yiying Zhang and Peng Zhao

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 4, 942-957

Abstract: Actuaries usually believe that the heterogeneity arising from claim severities in a given insurance portfolio tends to increase its dangerousness, which in turn creates a need to reserve more risk capital for insurer to cover total claims. In this paper, we investigate the effects of heterogeneity among occurrence probabilities and claim severities on the aggregate claim amount when the claim severities are right tail weakly stochastic arrangement increasing (RWSAI) and belong to the location-scale family. The results established here generalize those in Denuit and Frostig (2006) and Zhang, Li, and Cheung (2018).

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2018.1554127 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:49:y:2020:i:4:p:942-957

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2018.1554127

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().