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Two Sufficient Conditions for Convex Ordering on Risk Aggregation

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  • Dan Zhu
  • Chuancun Yin

Abstract

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.

Suggested Citation

  • Dan Zhu & Chuancun Yin, 2018. "Two Sufficient Conditions for Convex Ordering on Risk Aggregation," Abstract and Applied Analysis, John Wiley & Sons, vol. 2018(1).
    • Handle: RePEc:wly:jnlaaa:v:2018:y:2018:i:1:n:2937895
    DOI: 10.1155/2018/2937895
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    References listed on IDEAS

    as
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    5. Denuit, Michel & Mesfioui, Mhamed, 2013. "A sufficient condition of crossing type for the bivariate orthant convex order," LIDAM Reprints ISBA 2013004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Mesfioui, Mhamed & Denuit, Michel M., 2015. "Comonotonicity, orthant convex order and sums of random variables," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 356-364.
    7. Mesfioui, Mhamed & Denuit, Michel, 2015. "Comonotonicity, orthant convex order and sums of random variables," LIDAM Reprints ISBA 2015001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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