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Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications

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  • Shaked, Moshe

Abstract

In this paper we find interesting conditions under which vectors of random sums, with different summands and different random sizes, are ordered with respect to the multivariate Laplace transform order. The main result unifies various univariate and multivariate results from the literature. Some applications in reliability theory and insurance are described.

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  • Shaked, Moshe, 2007. "Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1339-1344, July.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:12:p:1339-1344
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    References listed on IDEAS

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    1. Pellerey, Franco, 1999. "Stochastic Comparisons for Multivariate Shock Models," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 42-55, October.
    2. Li, Gang & Cheng, Kan & Jiang, Xiaoyue, 2006. "Negative ageing property of random sum," Statistics & Probability Letters, Elsevier, vol. 76(7), pages 737-742, April.
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    7. Hu, Taizhong & Pan, Xiaoming, 1999. "Preservation of multivariate dependence under multivariate claim models," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 171-179, November.
    8. Kozubowski, Tomasz J. & Panorska, Anna K., 1998. "Weak Limits for Multivariate Random Sums," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 398-413, November.
    9. Cai, Jun & Willmot, Gordon E., 2005. "Monotonicity and aging properties of random sums," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 381-392, July.
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    Cited by:

    1. Ariyafar, Saeed & Tata, Mahbanoo & Rezapour, Mohsen & Madadi, Mohsen, 2020. "Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    2. Mercier, Sophie & Pham, Hai Ha, 2017. "A bivariate failure time model with random shocks and mixed effects," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 33-51.

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