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
JournalInsurance: Mathematics and Economics
DOIs
Publication statusE-pub ahead of print - 28 Jun 2024

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