参考函数的相关厌恶和双变量随机优势

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-06-28 DOI:10.1016/j.insmatheco.2024.06.005

Jingyuan Li , Jianli Wang , Lin Zhou

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引用次数: 0

摘要

本文介绍了随机优势的扩展，通过加入参考函数，将单变量分析转变为双变量分析。我们的方法提供了参考函数选择的灵活性，对之前的研究进行了改进。双变量排序是精算科学中非常宝贵的工具，有助于评估和管理多个保险合同中风险和寿命之间的依赖关系。这些进展具有良好的实际意义，尤其是在精算科学领域。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Correlation aversion and bivariate stochastic dominance with respect to reference functions

This paper introduces an extension of stochastic dominance, moving from univariate to bivariate analysis by incorporating a reference function. Our approach offers flexibility in reference function selection, improving upon previous studies cohesively. Bivariate orderings are invaluable tools in actuarial sciences, facilitating the assessment and management of dependencies between risks and lifelengths within multiple insurance contracts. These advancements hold promising practical implications, particularly within the actuarial sciences domain.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.