Two Sufficient Conditions for Convex Ordering on Risk Aggregation
We define new stochastic orders in higher dimensions called weak correlation orders. It is shown that weak correlation orders imply stop-loss order of sums of multivariate dependent risks with the same marginals. Moreover, some properties and relations of stochastic orders are discussed.
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2018/2937895 |
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| _version_ | 1849691347352551424 |
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| author | Dan Zhu Chuancun Yin |
| author_facet | Dan Zhu Chuancun Yin |
| author_sort | Dan Zhu |
| collection | DOAJ |
| description | We define new stochastic orders in higher dimensions called weak correlation orders. It is shown that weak correlation orders imply stop-loss order of sums of multivariate dependent risks with the same marginals. Moreover, some properties and relations of stochastic orders are discussed. |
| format | Article |
| id | doaj-art-df068e79b06840a4a11fa5d3b2bb4a73 |
| institution | DOAJ |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-df068e79b06840a4a11fa5d3b2bb4a732025-08-20T03:21:03ZengWileyAbstract and Applied Analysis1085-33751687-04092018-01-01201810.1155/2018/29378952937895Two Sufficient Conditions for Convex Ordering on Risk AggregationDan Zhu0Chuancun Yin1School of Statistics, Qufu Normal University, Shandong 273165, ChinaSchool of Statistics, Qufu Normal University, Shandong 273165, ChinaWe define new stochastic orders in higher dimensions called weak correlation orders. It is shown that weak correlation orders imply stop-loss order of sums of multivariate dependent risks with the same marginals. Moreover, some properties and relations of stochastic orders are discussed.http://dx.doi.org/10.1155/2018/2937895 |
| spellingShingle | Dan Zhu Chuancun Yin Two Sufficient Conditions for Convex Ordering on Risk Aggregation Abstract and Applied Analysis |
| title | Two Sufficient Conditions for Convex Ordering on Risk Aggregation |
| title_full | Two Sufficient Conditions for Convex Ordering on Risk Aggregation |
| title_fullStr | Two Sufficient Conditions for Convex Ordering on Risk Aggregation |
| title_full_unstemmed | Two Sufficient Conditions for Convex Ordering on Risk Aggregation |
| title_short | Two Sufficient Conditions for Convex Ordering on Risk Aggregation |
| title_sort | two sufficient conditions for convex ordering on risk aggregation |
| url | http://dx.doi.org/10.1155/2018/2937895 |
| work_keys_str_mv | AT danzhu twosufficientconditionsforconvexorderingonriskaggregation AT chuancunyin twosufficientconditionsforconvexorderingonriskaggregation |