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Stochastic comparisons of weighted sums of arrangement increasing random variables

Author

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  • Pan, Xiaoqing
  • Yuan, Min
  • Kochar, Subhash C.

Abstract

Assuming that the joint density of random variables X1,X2,…,Xn is arrangement increasing (AI), we obtain some stochastic comparison results on weighted sums of Xi’s under some additional conditions. An application to optimal capital allocation is also given.

Suggested Citation

  • Pan, Xiaoqing & Yuan, Min & Kochar, Subhash C., 2015. "Stochastic comparisons of weighted sums of arrangement increasing random variables," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 42-50.
    • Handle: RePEc:eee:stapro:v:102:y:2015:i:c:p:42-50
    DOI: 10.1016/j.spl.2015.03.012
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    References listed on IDEAS

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    1. Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
    2. An, Mark Yuying, 1998. "Logconcavity versus Logconvexity: A Complete Characterization," Journal of Economic Theory, Elsevier, vol. 80(2), pages 350-369, June.
    3. Cai, Jun & Wei, Wei, 2014. "Some new notions of dependence with applications in optimal allocation problems," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 200-209.
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    Cited by:

    1. Li, Xiaohu & Li, Chen, 2016. "On allocations to portfolios of assets with statistically dependent potential risk returns," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 178-186.
    2. Wei, Wei, 2017. "Joint stochastic orders of high degrees and their applications in portfolio selections," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 141-148.
    3. Pan Xiaoqing & Li Xiaohu, 2017. "On capital allocation for stochastic arrangement increasing actuarial risks," Dependence Modeling, De Gruyter, vol. 5(1), pages 145-153, January.
    4. Ju, Shan & Pan, Xiaoqing, 2016. "A new proof for the peakedness of linear combinations of random variables," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 93-98.
    5. Zhang, Yiying & Cheung, Ka Chun, 2020. "On the increasing convex order of generalized aggregation of dependent random variables," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 61-69.

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