Correlation aversion and bivariate stochastic dominance with respect to reference functions

Jingyuan LI, Jianli WANG, Lin ZHOU

Research output: Journal PublicationsJournal Article (refereed)peer-review

Abstract

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.
Original languageEnglish
Pages (from-to)157-174
Number of pages18
JournalInsurance: Mathematics and Economics
Volume118
Early online date28 Jun 2024
DOIs
Publication statusPublished - Sept 2024

Bibliographical note

Publisher Copyright:
© 2024 Elsevier B.V.

Funding

The research described here was supported by the General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500322, the Direct Grant of Lingnan University under Research Project No. DR24B7, and the National Natural Science Foundation of China with Grant Numbers 72071109, 72141304.

Keywords

  • Bivariate stochastic dominance
  • Correlation aversion
  • Reference function

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