摘要
本文研究了两组异质组合的线性积聚量的序列特性.在增凸序或者增凹序意义上,提供了充要条件以得到线性积聚量的比较结果.此处获得的部分结果加强并推广了一些已知的结果.一个数值例子验证了理论的结果.
This paper studies the ordering properties of the linear aggregation arising from two sets of heterogeneous portfolios.The sufficient conditions are provided in the sense of the increasing convex[concave]order to compare the linear aggregation amounts.The results obtained here strengthen and generalize some known results.A numerical example is given to verify the theoretical results.
作者
关清元
王炳兴
王佳
丁腾芸
GUAN Qingyuan;WANG Bingxing;WANG Jia;DING Tengyun(School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou,310018,China;School of Mathematics and Computer Science,Wuyi University,Wuyishan,354300,China;Key Laboratory of Cognitive Computing and Intelligent Information Processing of Fujian Education Institutions,Wuyishan,354300,China)
出处
《应用概率统计》
CSCD
北大核心
2022年第5期765-779,共15页
Chinese Journal of Applied Probability and Statistics
基金
supported by Fujian Province Young and Middle-Aged Teacher Education Research Project Foundation(Grant No.JAT170597)
the National Natural Science Foundation of China(Grant No.11871431)
First Class Discipline of Zhejiang–A(Zhejiang Gongshang University–Statistics,Grant No.1020JYN4120004G-093)
Graduate Scientific Research and Innovation Foundation of Zhejiang Gongshang University。
关键词
优化序
序列递增
积聚索赔量
异质性
h变换
majorization order
arrangement increasing
aggregate claim amounts
heterogeneous
h-transformation
