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

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  • Sangita Das
  • Suchandan Kayal

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.

Suggested Citation

  • Sangita Das & Suchandan Kayal, 2021. "Ordering results between the largest claims arising from two general heterogeneous portfolios," Papers 2104.08605, arXiv.org.
    • Handle: RePEc:arx:papers:2104.08605
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    References listed on IDEAS

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    1. Zhang, Yiying & Cai, Xiong & Zhao, Peng, 2019. "Ordering Properties Of Extreme Claim Amounts From Heterogeneous Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 49(2), pages 525-554, May.
    2. Hazra, Nil Kamal & Kuiti, Mithu Rani & Finkelstein, Maxim & Nanda, Asok K., 2017. "On stochastic comparisons of maximum order statistics from the location-scale family of distributions," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 31-41.
    3. Barmalzan, Ghobad & Payandeh Najafabadi, Amir T., 2015. "On the convex transform and right-spread orders of smallest claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 380-384.
    4. Barmalzan, Ghobad & Payandeh Najafabadi, Amir T. & Balakrishnan, Narayanaswamy, 2016. "Likelihood ratio and dispersive orders for smallest order statistics and smallest claim amounts from heterogeneous Weibull sample," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 1-7.
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    Cited by:

    1. Catana, Luigi-Ionut, 2022. "Stochastic orders of multivariate Jones–Larsen distribution family with empirical applications in physics, economy and social sciences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).

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