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Article: Comparisons of aggregate claim numbers and amounts: a study of heterogeneity

TitleComparisons of aggregate claim numbers and amounts: a study of heterogeneity
Authors
KeywordsAggregate claim numbers
aggregate claim amount
mean residual lifetime order
usual stochastic order
stop-loss order
Issue Date2018
PublisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2018, v. 2019 n. 4, p. 273-290 How to Cite?
AbstractIn this paper, we investigate how the heterogeneity among occurrence probabilities and claim severities affects the aggregate claim numbers and aggregate claim amount for an insurance portfolio. We show that higher heterogeneity (and dependence) among occurrence probabilities results in both smaller aggregate claim numbers and aggregate claim amount in the sense of the mean residual lifetime order. We also prove that as the heterogeneity among the claims increases, the aggregate claim amount increases in the sense of the usual stochastic order when the vector of occurrence probabilities is left tail weakly stochastic arrangement increasing. These theoretical findings are applied to (i) study ordering properties of convolutions of binomial random variables, (ii) provide upper bounds for the mean residual lifetime functions of the aggregate claim numbers and amount, and (iii) compare stop-loss premiums and risk capital of different insurance portfolios.
Persistent Identifierhttp://hdl.handle.net/10722/278279
ISSN
2023 Impact Factor: 1.6
2023 SCImago Journal Rankings: 0.967
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorZhang, Y-
dc.contributor.authorZhao, P-
dc.contributor.authorCheung, KC-
dc.date.accessioned2019-10-04T08:10:56Z-
dc.date.available2019-10-04T08:10:56Z-
dc.date.issued2018-
dc.identifier.citationScandinavian Actuarial Journal, 2018, v. 2019 n. 4, p. 273-290-
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/278279-
dc.description.abstractIn this paper, we investigate how the heterogeneity among occurrence probabilities and claim severities affects the aggregate claim numbers and aggregate claim amount for an insurance portfolio. We show that higher heterogeneity (and dependence) among occurrence probabilities results in both smaller aggregate claim numbers and aggregate claim amount in the sense of the mean residual lifetime order. We also prove that as the heterogeneity among the claims increases, the aggregate claim amount increases in the sense of the usual stochastic order when the vector of occurrence probabilities is left tail weakly stochastic arrangement increasing. These theoretical findings are applied to (i) study ordering properties of convolutions of binomial random variables, (ii) provide upper bounds for the mean residual lifetime functions of the aggregate claim numbers and amount, and (iii) compare stop-loss premiums and risk capital of different insurance portfolios.-
dc.languageeng-
dc.publisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp-
dc.relation.ispartofScandinavian Actuarial Journal-
dc.rightsAOM/Preprint Before Accepted: his article has been accepted for publication in [JOURNAL TITLE], published by Taylor & Francis. AOM/Preprint After Accepted: This is an [original manuscript / preprint] of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. Accepted Manuscript (AM) i.e. Postprint This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI].-
dc.subjectAggregate claim numbers-
dc.subjectaggregate claim amount-
dc.subjectmean residual lifetime order-
dc.subjectusual stochastic order-
dc.subjectstop-loss order-
dc.titleComparisons of aggregate claim numbers and amounts: a study of heterogeneity-
dc.typeArticle-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/03461238.2018.1557738-
dc.identifier.scopuseid_2-s2.0-85058991254-
dc.identifier.hkuros306400-
dc.identifier.volume2019-
dc.identifier.issue4-
dc.identifier.spage273-
dc.identifier.epage290-
dc.identifier.isiWOS:000462904700001-
dc.publisher.placeSweden-
dc.identifier.issnl0346-1238-

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