Abstract
There is a belief that heterogeneity in a portfolio increases its risk. This paper examines if this belief holds. We examine the impact of various types of heterogeneity on risk measures in the individual model, collective risk model, and life insurance. In order to measure heterogeneity, we apply majorization and Schur functions.
| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Risk Analysis and Assessment |
| Subtitle of host publication | Melnick/Risk |
| Publisher | wiley |
| Pages | 1-7 |
| Number of pages | 7 |
| ISBN (Electronic) | 9780470061596 |
| ISBN (Print) | 9780470035498 |
| DOIs | |
| State | Published - 1 Jan 2008 |
Bibliographical note
Publisher Copyright:© 2008 John Wiley & Sons, Ltd. All rights reserved.
Keywords
- Robin Hood transformation
- Schur decreasing
- Schur increasing
- majorization
- premium
- risk measure
- stochastic order
- stop loss
ASJC Scopus subject areas
- General Mathematics
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