ORDERING OF CLAIM SIZE RISKS AND ACTUARIAL IMPLICATIONS

Year 2002, Volume: 5 Issue: 1, 7 - 13, 01.01.2002

Omer L. Gebizlioglu Fatih Tank.

Abstract

Ordering of claim size risks can be done by stochastic dominance, stop-loss dominance andseveral other modalities of stochastic orders for decision making under uncertainty. Emergence of risks can bedeteected in terms of some interdependent variables and factors such as risk reserves and premium amounts.Risk ordering must be done by models that take account of this interdependence.This paper discusses some major stochastic order modalities for comparisons of risks and introduces anew risk ordering criterion in terms or record values of claim size sequences. Comparison of two independentportfolios is shown by these risk ordering approaches

Keywords

Record values, distribution of total claim amount, risk orderings

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