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Department seminar by Peng Zhao, Jiangsu Normal UniversityExport this event to calendarExport this event to calendar

Monday, August 8, 2016 — 3:00 PM EDT

Aggregate risks arising from Heterogeneous Portfolios

In this talk, we focus on the problem of stochastically comparing the aggregate risks from two heterogenous portfolios. It is shown that the more heterogeneities among aggregate risks would result in larger aggregate risks in the sense of the stochastic order. The stochastic properties of aggregate risks when the claims follow proportional hazard rates models or scale models are discussed. We also present some sufficient conditions for comparing the aggregate risks arising from two sets of heterogeneous portfolios with claims having gam- ma distributions. In particular, the aggregate risks of portfolios from dependent samples with comonotonic dependence structures or arrangement increasing density functions are addressed.

Location 
M3 - Mathematics 3
3127

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