Publication date: September 2016
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Junnan He, Qihe Tang, Huan Zhang
Given a risk position , a random addition is called a risk reducer for if the new position is less risky than in convex order. We utilize the concept of convex hull to give a structural description of risk reducers in the case of an atomless probability space. Then we study risk reducers that are fully dependent on . Applications to multivariate stochastic ordering, index-linked hedging strategies, and optimal reinsurance are proposed.
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Junnan He, Qihe Tang, Huan Zhang
