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Stochastic comparisons of capital allocations with applications

Authors:	Maochao Xu Taizhong Hu

Affiliation:	^a Department of Mathematics, Illinois State University, Normal, IL, USA ^b Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026, People’s Republic of China

Abstract:	This paper studies capital allocation problems using a general loss function. Stochastic comparisons are conducted for general loss functions in several scenarios: independent and identically distributed risks; independent but non-identically distributed risks; comonotonic risks. Applications in optimal capital allocations and policy limits allocations are discussed as well.

Keywords:	60E15 62N05 62G30 62D05
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