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Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims

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  • Ariyafar, Saeed
  • Tata, Mahbanoo
  • Rezapour, Mohsen
  • Madadi, Mohsen

Abstract

The comparison of two risky portfolios has always been of interest in insurance and finance. Classically, it is often assumed that the portfolio claims are independent, but in practice, this assumption is not usually true and we need to study portfolios with dependent claims. In this paper, we consider two risky portfolios with dependent claims whose dependencies are modeled using Archimedean copulas and compare the aggregation and minimum of these portfolios with respect to the Laplace transform order. Moreover, we compare the maxima of two interdependent portfolios by the usual stochastic order.

Suggested Citation

  • Ariyafar, Saeed & Tata, Mahbanoo & Rezapour, Mohsen & Madadi, Mohsen, 2020. "Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    • Handle: RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19304841
    DOI: 10.1016/j.jmva.2020.104620
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    References listed on IDEAS

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