Search Results - subject:"Increasing convex order"

Augmented Lagrangian methods for solving optimation problems with stochastic-order constraints

Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli - In: Operations research 64 (2016) 6, pp. 1451-1465

Persistent link: https://www.econbiz.de/10011620703

Optimal allocation of policy deductibles for exchangeable risks

Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan - In: Insurance / Mathematics & economics 71 (2016), pp. 87-92

Persistent link: https://www.econbiz.de/10011630612

From regulatory life tables to stochastic mortality projections : the exponential decline model

Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303

Persistent link: https://www.econbiz.de/10011630848

Comparisons on aggregate risks from two sets of heterogeneous portfolios

Zhang, Yiying; Zhao, Peng - In: Insurance / Mathematics & economics 65 (2015), pp. 124-135

Persistent link: https://www.econbiz.de/10011422894

On the convex transform and right-spread orders of smallest claim amounts

Barmalzan, Ghobad; Najafabadi, Amir T. Payandeh - In: Insurance / Mathematics & economics 64 (2015), pp. 380-384

Persistent link: https://www.econbiz.de/10011398109

Stochastic order characterization of uniform integrability and tightness

Leskelä, Lasse; Vihola, Matti - In: Statistics & Probability Letters 83 (2013) 1, pp. 382-389

increasing convex order by an integrable random variable. This result is complemented by proving analogous statements for the … between the strong order and the increasing convex order. These results also yield new characterizations of relative …

Persistent link: https://www.econbiz.de/10011040031

Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data

Balakrishnan, Narayanaswamy; Belzunce, Félix; Sordo, … - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 45-54

, we prove that if the minimum of two sets of generalized order statistics are ordered in the increasing convex order, then … the remaining generalized order statistics are also ordered in the increasing convex order. This result is extended to the … the increasing directionally convex order if the marginals are ordered in the increasing convex order. This latter result …

Persistent link: https://www.econbiz.de/10011041915

Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse

Dentcheva, Darinka; Martinez, Gabriela - In: European Journal of Operational Research 219 (2012) 1, pp. 1-8

recourse function. Two new characterizations of the increasing convex order relation are provided. They are based on …

Persistent link: https://www.econbiz.de/10010574179

On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

Li, Xiaohu; You, Yinping - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 423-429

With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to...

Persistent link: https://www.econbiz.de/10010572723

How retention levels influence the variability of the total risk under reinsurance

Escudero, Laureano; Ortega, Eva-María - In: TOP: An Official Journal of the Spanish Society of … 17 (2009) 1, pp. 139-157

Persistent link: https://www.econbiz.de/10004995451