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On risk dependence and mrl ordering

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  • Frostig, Esther

Abstract

Recently, it was shown that as dependence among random variables increases their sum increases in the sense of increasing convex ordering. The present article assumes strong dependence among Bernoulli random variables. This dependence implies that the sum of the random variables increases in the mean residual life (mrl) order. This result is stronger than the previous result, since the mrl ordering implies the increasing convex ordering. We thus extend a result presented in Bäuerle and Müller [1998. Modelling and comparing dependencies in multivariable risk portfolios. ASTIN Bull. 28, 59-76].

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  • Frostig, Esther, 2006. "On risk dependence and mrl ordering," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 231-243, February.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:3:p:231-243
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    References listed on IDEAS

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    1. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    2. Fagiuoli, E. & Pellerey, F., 1994. "Mean residual life and increasing convex comparison of shock models," Statistics & Probability Letters, Elsevier, vol. 20(5), pages 337-345, August.
    3. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
    4. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
    5. Hu, Taizhong & Wu, Zhiqiang, 1999. "On dependence of risks and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 323-332, May.
    6. Frostig, Esther, 2001. "Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 319-332, December.
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    Cited by:

    1. Kandil Abd El-Fattah Mohamed & Kayid Mohamed & Mahdy Mervat Mahdy Ramadan, 2010. "Median Inactivity Time Function and its Reliability Properties," Stochastics and Quality Control, De Gruyter, vol. 25(2), pages 253-268, January.
    2. Mervat Mahdy & Ramadan Mahdy, 2012. "On quantile reversed residual lifetime and its aging properties," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 121-131, August.

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