Ordering of risks in life insurance
After restating some results on ordering relations (stochastic and stop- loss order), the paper introduces loss functions for life insurances and derives theorems relating stopp-loss order and monotone loss functions. This approach is applied to generalize some results of the authors [Proc. 24 th Int. Congr. Actuaries, Montreal (1992)] on optimal insurance plans, where optimal is used in the sense of minimal variance of the discounted loss function.
scientific article; zbMATH DE number 148004
scientific article