Abstract
In this paper we build the increasing convex (concave) order for the scalar product of random vectors with an upper (lower) tail permutation decreasing joint density. As applications, we revisit allocations of portfolio risks in financial engineering and of coverage limits and deductibles in insurance. Some related results in the literature are substantially updated.
Citation
Yinping You. Xiaohu Li. "Ordering scalar products with applications in financial engineering and actuarial science." J. Appl. Probab. 53 (1) 47 - 56, March 2016.
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