Ordering the smallest claim amounts from two sets of interdependent heterogeneous portfolios

Hossein Nadeb, Hamzeh Torabi and Ali Dolati

Papers from arXiv.org

Abstract: Let $ X_{\lambda_1},\ldots,X_{\lambda_n}$ be a set of dependent and non-negative random variables share a survival copula and let $Y_i= I_{p_i}X_{\lambda_i}$, $i=1,\ldots,n$, where $I_{p_1},\ldots,I_{p_n}$ be independent Bernoulli random variables independent of $X_{\lambda_i}$'s, with ${\rm E}[I_{p_i}]=p_i$, $i=1,\ldots,n$. In actuarial sciences, $Y_i$ corresponds to the claim amount in a portfolio of risks. This paper considers comparing the smallest claim amounts from two sets of interdependent portfolios, in the sense of usual and likelihood ratio orders, when the variables in one set have the parameters $\lambda_1,\ldots,\lambda_n$ and $p_1,\ldots,p_n$ and the variables in the other set have the parameters $\lambda^{*}_1,\ldots,\lambda^{*}_n$ and $p^*_1,\ldots,p^*_n$. Also, we present some bounds for survival function of the smallest claim amount in a portfolio. To illustrate validity of the results, we serve some applicable models.

Date: 2018-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1812.06166 Latest version (application/pdf)

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:arx:papers:1812.06166

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().