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Teoriya Veroyatnostei i ee Primeneniya, 2017, Volume 62, Issue 1, Pages 145–162
DOI: https://doi.org/10.4213/tvp5101 (Mi tvp5101) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Ordering results for aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios and their applications in insurance analysis

G. Barmalzana, A. T. Payandeh Najafabadib, N. Balakrishnanc

a Department of Statistics, University of Zabol, Sistan and Baluchestan, Iran
b Department of Mathematical Sciences, Shahid Beheshti University, G. C. Evin, Tehran, Iran
c Department of Mathematics and Statistics, McMaster University, Hamilton, Canada
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DOI: https://doi.org/10.4213/tvp5101
Abstract: In this work, we discuss the stochastic comparison of two classical surplus processes in a one-year insurance period. Under the Marshall–Olkin extended exponential random aggregate claim amounts, we extend one result of Khaledi and Ahmadi [J. Statist. Plann. Inference, 138 (2008), pp. 2243–2251]. Applications of our results to the value-at-risk and ruin probability are also given. Our results show that the heterogeneity of the risks in a given insurance portfolio tends to make the portfolio volatile, which in turn leads to requiring more capital.
Keywords: Marshall–Olkin extended exponential distribution, usual multivariate stochastic order, multivariate chain majorization, order statistics, hazard rate function, aggregate claim amounts, value-at-risk, ruin probability.
Received: 17.05.2016
Accepted: 20.10.2016
English version:
Theory of Probability and its Applications, 2018, Volume 62, Issue 1, Pages 117–131
DOI: https://doi.org/10.1137/S0040585X97T988526
Bibliographic databases:
Document Type: Article
Language: English
Citation: G. Barmalzan, A. T. Payandeh Najafabadi, N. Balakrishnan, “Ordering results for aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios and their applications in insurance analysis”, Teor. Veroyatnost. i Primenen., 62:1 (2017), 145–162; Theory Probab. Appl., 62:1 (2018), 117–131
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
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