Stochastic comparisons of largest claim and aggregate claim amounts

Authors

Arindam Panja, Indian Statistical Institute, Kolkata
Pradip Kundu, XIM University
Nil Kamal Hazra, Indian Institute of Technology Jodhpur
Biswabrata Pradhan, Indian Statistical Institute, Kolkata

Article Type

Research Article

Publication Title

Probability in the Engineering and Informational Sciences

Abstract

In this paper, we establish some stochastic comparison results for largest claim amounts of two sets of independent and also for interdependent portfolios under the setup of the proportional odds model. We also establish stochastic comparison results for aggregate claim amounts of two sets of independent portfolios. Further, stochastic comparisons for largest claim amounts from two sets of independent multiple-outlier claims have also been studied. The results we obtained apply to the whole family of extended distributions, also known as the Marshall-Olkin family of distributions. We have given many numerical examples to illustrate the results obtained.

First Page

245

Last Page

267

DOI

10.1017/S0269964823000104

Publication Date

4-1-2024

Comments

Open Access; Bronze Open Access

Recommended Citation

Panja, Arindam; Kundu, Pradip; Hazra, Nil Kamal; and Pradhan, Biswabrata, "Stochastic comparisons of largest claim and aggregate claim amounts" (2024). Journal Articles. 5109.
https://digitalcommons.isical.ac.in/journal-articles/5109