Ordering results between the largest claims arising from two general heterogeneous portfolios

Sangita Das and Suchandan Kayal

Papers from arXiv.org

Abstract: This work is entirely devoted to compare the largest claims from two heterogeneous portfolios. It is assumed that the claim amounts in an insurance portfolio are nonnegative absolutely continuous random variables and belong to a general family of distributions. The largest claims have been compared based on various stochastic orderings. The established sufficient conditions are associated with the matrices and vectors of model parameters. Applications of the results are provided for the purpose of illustration.

Date: 2021-04
New Economics Papers: this item is included in nep-rmg
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