Convex ordering for insurance preferences
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Publication:495510
DOI10.1016/j.insmatheco.2015.06.005zbMath1348.91134OpenAlexW3123198241MaRDI QIDQ495510
Wing Fung Chong, Ka Chun Cheung, Sheung Chi Phillip Yam
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/217226
value-at-riskconvex orderingaverage value-at-riskKarlin-Novikoff-Stoyan-Taylor crossing conditionsoptimal insurance decision problem
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)
Related Items (7)
Optimal insurance design under mean-variance preference with narrow framing ⋮ Pareto-optimal reinsurance under individual risk constraints ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ Risk sharing with multiple indemnity environments ⋮ Golden options in financial mathematics ⋮ Budget-constrained optimal reinsurance design under coherent risk measures
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