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Stochastic Comparison of Aggregate Claim Amounts Among Two Heterogeneous Portfolios
Ghobad Barmalzan
Abstract:   (577 Views)

The aggregate claim amount in a particular time period is a quantity of fundamental importance for proper management of an insurance company and also for pricing of insurance coverages. In this paper, the usual stochastic order between aggregate claim amounts is discussed when the survival function of claims is a increasing and concave. The results established here complete some results of Li and Li (2016).

Keywords: Chain majorization, Proportional reversed hazard rate model, Stochastic order, Schur-concave, T-tranform matrix.
Full-Text [PDF 5181 kb]   (142 Downloads)    
Type of Study: Research | Subject: Theoritical Statistics
Received: 2016/12/19 | Accepted: 2018/03/1 | Published: 2018/04/15
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مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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