TY - JOUR
T1 - Joint stochastic orders of high degrees and their applications in portfolio selections
AU - Wei, Wei
N1 - Funding Information:
The author thanks two anonymous referees for the useful comments and suggestions, which improve the presentation of the paper. The author acknowledges the financial support from the Research and Creative Activities Support ( AAC2253 ) of University of Wisconsin-Milwaukee.
Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2017/9
Y1 - 2017/9
N2 - In this paper, we propose two new classes of joint stochastic orders, namely joint (reversed) hazard order of degree n and joint n-increasing convex/concave order, and establish their theoretical properties. These new orders substantially generalize the existing class of joint stochastic orders, and incorporate them in one general framework. We also explore the applications of these orders in portfolio selections and unify similar studies on this problem.
AB - In this paper, we propose two new classes of joint stochastic orders, namely joint (reversed) hazard order of degree n and joint n-increasing convex/concave order, and establish their theoretical properties. These new orders substantially generalize the existing class of joint stochastic orders, and incorporate them in one general framework. We also explore the applications of these orders in portfolio selections and unify similar studies on this problem.
KW - Functional characterization
KW - High degree stochastic order
KW - Joint (reversed) hazard rate order
KW - Joint increasing convex/concave order
KW - Optimal portfolio selections
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U2 - 10.1016/j.insmatheco.2017.07.008
DO - 10.1016/j.insmatheco.2017.07.008
M3 - Article
AN - SCOPUS:85027682620
SN - 0167-6687
VL - 76
SP - 141
EP - 148
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -