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Ordering scalar products with applications in financial engineering and actuarial science

Published online by Cambridge University Press:  24 March 2016

Yinping You  and
Xiaohu Li
Yinping You
Affiliation:
School of Mathematical Sciences, Huaqiao University, Quanzhou, Fujian, 362021, China.
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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.

Keywords

Archimedean copulacoverage limitdeductiblemajorizationupper tail permutation decreasing
Type
Research Papers
Information
Journal of Applied Probability , Volume 53 , Issue 1 , March 2016 , pp. 47 - 56
Copyright
Copyright © Applied Probability Trust 2016 

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