Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors

DOI10.1016/J.CAM.2010.04.007zbMath1200.91138OpenAlexW2087320261MaRDI QIDQ984903

Fengxia Hu, Rong-Ming Wang

Publication date: 20 July 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.04.007

zbMATH Keywords

stochastic ordersconditional expectationcomonotonicityrisksloss frequency

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Arrangement increasing resource allocation ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

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