مشخصات پژوهش

عنوان	Allocations of policy limits and ordering relations for aggregate remaining claims
نوع پژوهش	مقاله چاپ‌شده در مجلات علمی
کلیدواژه‌ها	Arrangement decreasing, exchangeable random variables, hazard rate order, likelihood ratio order, majorization, reversed hazard rate order, Schur concave function,stochastic dominance
چکیده	Let $X_1,\ldots,X_n$ be a set of $n$ risks , with decreasing joint density function $f$ , faced by a policyholder who is insured for this $n$ risks with upper limit coverage for each risk . Let ${\bf l}=(l_1 , \ldots l_n)$ and ${\bf l}^*=(l^*_1 , \ldots l^*_n)$ be two vectors of policy limits such that ${\bf l}^*$ is majorized by ${\bf l}$ . It is shown that $\sum_{i=1}^{n} (X_i - l_{i})_+$ is larger than $\sum_{i=1}^{n} (X_i - l_{i}^*)_+$ according to stochastic dominance if $f$ is exchangeable . It is also shown that $\sum_{i=1}^{n} (X_i - l_{(i)})_+$ is larger than $\sum_{i=1}^{n} (X_i - l_{(i)}^*)_+$ according to stochastic dominance if either $f$ is decreasing arrangement or $X_1,\ldots,X_n$ are independent and ordered according to reversed hazard rate ordering . We applied the new results to multivariate Pareto distribution.
پژوهشگران	بهاءالدین خالدی (نفر دوم)، سیروس فتحی منش (نفر اول)