Stochastic Comparisons between the Extreme Claim Amounts from Two Heterogeneous Portfolios in the Case of Transmuted-G Model. Issue 3 (2nd July 2020)

• Record Type: Journal Article
• Authors: Nadeb, Hossein; Torabi, Hamzeh; Dolati, Ali
• Is Part Of: North American actuarial journal. Volume 24:Issue 3(2020)
• Page Start: 475
• Page End: 487
• Publication Date: 2020-07-02
• Subjects: Life insurance -- Research -- North America -- Periodicals; Actuarial science -- North America -- Periodicals; Web sites; Electronic journals; 368.010973
• DOI: 10.1080/10920277.2019.1671203
• Languages: English
• ISSNs: 2325-0453

Abstract

Abstract : Let X λ 1, …, X λ n be independent and non-negative random variables belong to the transmuted-G model and let Y i = I p i X λ i, i = 1, …, n, where I p 1, …, I p n are independent Bernoulli random variables independent of X λ i s, with E [ I p i ] = p i, i = 1, …, n . In actuarial sciences, Yi corresponds to the claim amount in a portfolio of risks. In this article, we compare the smallest and the largest claim amounts of two sets of independent portfolios belonging to the transmuted-G model, in the sense of the usual stochastic order, hazard rate order, and dispersive order, when the variables in one set have the parameters λ 1, …, λ n and the variables in the other set have the parameters λ 1 *, …, λ n * . For illustration we apply the results to transmuted exponential and the transmuted Weibull models.