Worst allocations of policy limits and deductibles

DOI10.1016/j.insmatheco.2008.03.005zbMath1140.91421OpenAlexW2116115261MaRDI QIDQ938037

Lei Hua, Ka Chun Cheung

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.005

zbMATH Keywords

stochastic orderscomonotonicitymajorization orderprinciple of equivalent utility

Mathematics Subject Classification ID

Related Items (18)

On capital allocation for stochastic arrangement increasing actuarial risks ⋮ 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 ⋮ 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 ⋮ Applications of conditional comonotonicity to some optimization problems ⋮ Stochastic comparisons for allocations of policy limits and deductibles with applications ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Optimal capital allocations to interdependent actuarial risks ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles ⋮ Optimal allocation of policy limits and deductibles under distortion risk measures ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management

Cites Work

• Stochastic orders
• Stochastic orders of scalar products with applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Optimal allocation of policy limits and deductibles
• Extension of the bivariate characterization for stochastic orders
• Inequalities: theory of majorization and its applications
• Upper and lower bounds for sums of random variables
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