Optimal allocation of policy limits and deductibles under distortion risk measures

DOI10.1016/j.insmatheco.2008.11.012zbMath1162.60309OpenAlexW1967191839MaRDI QIDQ1023102

Zijin Chen, Taizhong Hu, Weiwei Zhuang

Publication date: 10 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.012

zbMATH Keywords

stochastic orderscomonotonicitydistortion functionloss severityloss frequencyoptimization criteria

Mathematics Subject Classification ID

Related Items (17)

Arrangement increasing resource allocation ⋮ On coverage limits and deductibles for SAI loss severities ⋮ 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 ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ 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
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• The concept of comonotonicity in actuarial science and finance: theory.
• Optimal allocation of policy limits and deductibles
• Coherent Measures of Risk
• Risk Measures and Comonotonicity: A Review
• Bivariate characterization of some stochastic order relations
• Extension of the bivariate characterization for stochastic orders

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