مشخصات پژوهش

عنوان	Ordering Results of Aggregate Claim Amounts from Two Heterogeneous Portfolios
نوع پژوهش	مقاله چاپ‌شده در مجله
کلیدواژه‌ها	increasing convex order, usual stochastic order, multivariate chain majorization, aggregate claim amounts, value-at-risk, ruin probability
چکیده	In this paper, we discuss the stochastic comparison of two classical surplus processes in a one-year insurance period. Under the Marshall-Olkin extended Weibull random aggregate claim amounts, we establish some sufficient conditions for the comparison of aggregate claim amounts in the sense of the usual stochastic order. Applications of our results to the Value-at-Risk and ruin probability are also given. The obtained 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. We also obtain some sufficient conditions for comparing aggregate non-random claim amounts with different occurrence frequency vectors in terms of increasing convex order.
پژوهشگران	سهیر کریم رمانی (نفر اول)، حبیب جعفری (نفر دوم)، قباد سعادت کیا (نفر سوم)