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Stochastic comparisons of capital allocations with applications

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  • Xu, Maochao
  • Hu, Taizhong

Abstract

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.

Suggested Citation

  • Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
    • Handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:293-298
    DOI: 10.1016/j.insmatheco.2011.12.004
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    References listed on IDEAS

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    14. Lu, ZhiYi & Meng, LiLi, 2011. "Stochastic comparisons for allocations of policy limits and deductibles with applications," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 338-343, May.
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    Cited by:

    1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
    2. Manesh, Sirous Fathi & Khaledi, Baha-Eldin & Dhaene, Jan, 2016. "Optimal allocation of policy deductibles for exchangeable risks," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 87-92.
    3. Manesh, Sirous Fathi & Khaledi, Baha-Eldin, 2015. "Allocations of policy limits and ordering relations for aggregate remaining claims," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 9-14.
    4. Cai, Jun & Wang, Ying, 2021. "Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 329-349.
    5. Pan Xiaoqing & Li Xiaohu, 2017. "On capital allocation for stochastic arrangement increasing actuarial risks," Dependence Modeling, De Gruyter, vol. 5(1), pages 145-153, January.
    6. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 225-231.
    7. Belles-Sampera, Jaume & Guillén, Montserrat & Santolino, Miguel, 2014. "GlueVaR risk measures in capital allocation applications," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 132-137.
    8. Pan, Xiaoqing & Yuan, Min & Kochar, Subhash C., 2015. "Stochastic comparisons of weighted sums of arrangement increasing random variables," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 42-50.
    9. Zhang, Yiying & Cheung, Ka Chun, 2020. "On the increasing convex order of generalized aggregation of dependent random variables," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 61-69.
    10. Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 533-543.
    11. Kamil J. Mizgier & Joseph M. Pasia, 2016. "Multiobjective optimization of credit capital allocation in financial institutions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 801-817, December.

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