Stochastic comparisons for allocations of policy limits and deductibles with applications

DOI10.1016/j.insmatheco.2010.12.006zbMath1218.91087OpenAlexW2057308607MaRDI QIDQ2276239

ZhiYi Lu, LiLi Meng

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.12.006

zbMATH Keywords

likelihood ratio orderoptimal solutionusual stochastic ordermajorization orderpolicy limitpolicy deductible

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (15)

Arrangement increasing resource allocation ⋮ On coverage limits and deductibles for SAI loss severities ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ Ordering optimal deductible allocations for stochastic arrangement increasing risks ⋮ Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages ⋮ Allocations of policy limits and ordering relations for aggregate remaining claims ⋮ Stochastic comparisons of capital allocations with applications ⋮ On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities ⋮ Optimal allocation of policy limits in layer reinsurance treaties ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Optimal allocations of coverage limits for two independent random losses of insurance policy ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management

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