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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 language | English |
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Pages (from-to) | 157-174 |
Number of pages | 18 |
Journal | Insurance: Mathematics and Economics |
Volume | 118 |
Early online date | 28 Jun 2024 |
DOIs | |
Publication status | Published - 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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Ordinal Certainty Equivalent Preferences in the Presence of a Background Risk
LI, J. (PI)
1/01/24 → 31/12/25
Project: Grant Research
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Uncertainty aversion in the presence of a background risk (在面臨背景風險之下的不確定規避)
LI, J. (PI)
Research Grants Council (HKSAR)
1/01/23 → 31/12/23
Project: Grant Research