Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

Abstract

This paper investigates the usual stochastic and hazard rate orders between the largest claim amounts from two sets of heterogeneous and dependent insurance portfolios. Sufficient conditions are established in terms of the dependence structure and the heterogeneity among claim severities when the occurrence probabilities are stochastically arrangement increasing. These newly established results generalize or complement some earlier results studied in Balakrishnan et al. (2018b) and Zhang et al. (2019). Numerical examples are provided to illustrate the theoretical findings.