| dc.contributor.author | Richards, Donald | |
| dc.contributor.author | Uhler, Caroline | |
| dc.date.accessioned | 2021-10-27T20:10:48Z | |
| dc.date.available | 2021-10-27T20:10:48Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | https://hdl.handle.net/1721.1/135114 | |
| dc.description.abstract | © 2019 Elsevier Inc. We consider the construction of insurance premiums that are monotonically increasing with respect to a loading parameter. By introducing weight functions that are totally positive of higher order, we derive higher monotonicity properties of generalized weighted premiums; in particular, we deduce for weight functions that are totally positive of order three a monotonicity property of the variance-to-mean ratio, or index of dispersion, of the loss variable. We derive the higher order total positivity properties of some ratios that arise in actuarial and insurance analysis of combined risks. Further, we examine seven classes of weight functions that have appeared in the literature and we ascertain the higher order total positivity properties of those functions. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier BV | |
| dc.relation.isversionof | 10.1016/j.jmaa.2019.02.054 | |
| dc.rights | Creative Commons Attribution-NonCommercial-NoDerivs License | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.source | arXiv | |
| dc.title | Loading monotonicity of weighted premiums, and total positivity properties of weight functions | |
| dc.type | Article | |
| dc.contributor.department | Massachusetts Institute of Technology. Laboratory for Information and Decision Systems | |
| dc.relation.journal | Journal of Mathematical Analysis and Applications | |
| dc.eprint.version | Author's final manuscript | |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | |
| dc.date.updated | 2019-07-09T18:07:08Z | |
| dspace.orderedauthors | Richards, D; Uhler, C | |
| dspace.date.submission | 2019-07-09T18:07:09Z | |
| mit.journal.volume | 475 | |
| mit.journal.issue | 1 | |
| mit.metadata.status | Authority Work and Publication Information Needed | |
