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Preservation of the location independent risk order under convolution

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  • Hu, Taizhong
  • Chen, Jing
  • Yao, Junchao

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  • Hu, Taizhong & Chen, Jing & Yao, Junchao, 2006. "Preservation of the location independent risk order under convolution," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 406-412, April.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:2:p:406-412
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    References listed on IDEAS

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    1. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
    2. Ian Jewitt, 1989. "Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk," Management Science, INFORMS, vol. 35(1), pages 60-70, January.
    3. Ian Jewitt, 1987. "Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 73-85.
    4. Belzunce, F., 1999. "On a characterization of right spread order by the increasing convex order," Statistics & Probability Letters, Elsevier, vol. 45(2), pages 103-110, November.
    5. Kochar, Subhash C. & Carrière, K. C., 1997. "Connections among various variability orderings," Statistics & Probability Letters, Elsevier, vol. 35(4), pages 327-333, November.
    6. Muller, Alfred, 1998. "Comparing risks with unbounded distributions," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 229-239, September.
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    Cited by:

    1. Kandil Abd El-Fattah Mohamed & Kayid Mohamed & Mahdy Mervat Mahdy Ramadan, 2010. "Median Inactivity Time Function and its Reliability Properties," Stochastics and Quality Control, De Gruyter, vol. 25(2), pages 253-268, January.
    2. Yang, Jianping & Zhuang, Weiwei & Hu, Taizhong, 2014. "Lp-metric under the location-independent risk ordering of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 321-324.
    3. Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2011. "Stochastic comparisons of distorted variability measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 11-17, July.
    4. Félix Belzunce & Carolina Martínez-Riquelme, 2015. "Some results for the comparison of generalized order statistics in the total time on test and excess wealth orders," Statistical Papers, Springer, vol. 56(4), pages 1175-1190, November.
    5. Sordo, Miguel A., 2009. "Comparing tail variabilities of risks by means of the excess wealth order," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 466-469, December.
    6. Markus Huggenberger & Peter Albrecht, 2022. "Risk pooling and solvency regulation: A policyholder's perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 907-950, December.
    7. Kochar, Subhash & Xu, Maochao, 2010. "On the right spread order of convolutions of heterogeneous exponential random variables," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 165-176, January.

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