On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
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Publication:414611
DOI10.1016/J.INSMATHECO.2012.02.008zbMath1236.91085OpenAlexW2062010328MaRDI QIDQ414611
Publication date: 11 May 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.008
Related Items (11)
On capital allocation for stochastic arrangement increasing actuarial risks ⋮ On coverage limits and deductibles for SAI loss severities ⋮ Ordering optimal deductible allocations for stochastic arrangement increasing risks ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ Optimal allocation of policy limits in layer reinsurance treaties ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ On extremes of bivariate residual lifetimes from generalized Marshall-Olkin and time transformed exponential models ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ On the increasing convex order of generalized aggregation of dependent random variables
Cites Work
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- Stochastic orders
- Stochastic orders of scalar products with applications
- Worst allocations of policy limits and deductibles
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- Optimal allocation of policy limits and deductibles
- Upper and lower bounds for sums of random variables
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