Ordering the smallest claim amounts from two sets of interdependent heterogeneous portfolios

Abstract

Let $X_{{\lambda }_1},\dots ,X_{{\lambda }_n}$ be a set of dependent and non-negative random variables share a survival copula and let $Y_i=I_{p_i}{X}_{{\lambda }_i}$, $i=1,\dots ,n$, where $I_{p_1},\dots ,I_{p_n}$ be independent Bernoulli random variables independent of $X_{{\lambda }_i}$'s, with $\mathrm{E}[I_{p_i}]=p_i$, $i=1,\dots ,n$. In actuarial sciences, $Y_i$ corresponds to the claim amount in a portfolio of risks. This paper considers comparing the smallest claim amounts from two sets of interdependent portfolios, in the sense of usual and likelihood ratio orders, when the variables in one set have the parameters ${\lambda }_1,\dots ,{\lambda }_n$ and $p_1,\dots ,p_n$ and the variables in the other set have the parameters ${\lambda }_1^{\ast },\dots ,{\lambda }_n^{\ast }$ and $p_1^{\ast },\dots ,p_n^{\ast }$. Also, we present some bounds for survival function of the smallest claim amount in a portfolio. To illustrate validity of the results, we serve some applicable models.