Stochastic comparisons of capital allocations with applications

This paper studies capital allocation problems using a general loss function. Stochastic comparisons are conducted for general loss functions in several scenarios: independent and identically distributed risks; independent but non-identically distributed risks; comonotonic risks. Applications in optimal capital allocations and policy limits allocations are discussed as well.

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Year of publication:	2012
Authors:	Xu, Maochao ; Hu, Taizhong
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 3, p. 293-298
Publisher:	Elsevier
Subject:	Capital allocation \| Increasing and convex order \| Likelihood ratio order \| Log-concave \| Majorization \| Stochastic orders

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572707