Inequalities in Risk Theory

II
Esther Frostig

Esther Frostig

University of Haifa, Mount Carmel, Israel

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First published: 15 September 2008

Abstract

There is a belief that heterogeneity in a portfolio increases its risk. This paper examines if this belief holds. We examine the impact of various types of heterogeneity on risk measures in the individual model, collective risk model, and life insurance. In order to measure heterogeneity, we apply majorization and Schur functions.

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