Ordering results between the largest claims arising from two general heterogeneous portfolios

Abstract

This work is entirely devoted to compare the largest claims from two
heterogeneous portfolios. It is assumed that the
claim amounts in an insurance portfolio are
nonnegative absolutely continuous random
variables and belong to a general family of distributions. The largest claims have been compared based on various stochastic orderings. The established sufficient conditions are associated with the matrices and vectors of model parameters. Applications of the results are provided for the purpose of illustration.