March 2016 Ordering scalar products with applications in financial engineering and actuarial science
Yinping You, Xiaohu Li
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J. Appl. Probab. 53(1): 47-56 (March 2016).

Abstract

In this paper we build the increasing convex (concave) order for the scalar product of random vectors with an upper (lower) tail permutation decreasing joint density. As applications, we revisit allocations of portfolio risks in financial engineering and of coverage limits and deductibles in insurance. Some related results in the literature are substantially updated.

Citation

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Yinping You. Xiaohu Li. "Ordering scalar products with applications in financial engineering and actuarial science." J. Appl. Probab. 53 (1) 47 - 56, March 2016.

Information

Published: March 2016
First available in Project Euclid: 8 March 2016

zbMATH: 1335.60016
MathSciNet: MR3471945

Subjects:
Primary: 91B16 , 91B30
Secondary: 60E15

Keywords: Archimedean copula , coverage limit , deductible , majorization , upper tail permutation decreasing

Rights: Copyright © 2016 Applied Probability Trust

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Vol.53 • No. 1 • March 2016
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