Stochastic comparisons for allocations of policy limits and deductibles with applications
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Publication:2276239
DOI10.1016/J.INSMATHECO.2010.12.006zbMATH Open1218.91087OpenAlexW2057308607MaRDI QIDQ2276239FDOQ2276239
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.12.006
optimal solutionlikelihood ratio orderusual stochastic ordermajorization orderpolicy limitpolicy deductible
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
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- An inequality for convex functions involving majorization
Cited In (18)
- Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
- Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages
- On coverage limits and deductibles for SAI loss severities
- Ordering properties of generalized aggregation with applications
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- Stochastic comparisons of capital allocations with applications
- Optimal allocation of policy deductibles for exchangeable risks
- Arrangement increasing resource allocation
- Ordering optimal deductible allocations for stochastic arrangement increasing risks
- Some new notions of dependence with applications in optimal allocation problems
- Statutory regulation of casualty insurance companies: An example from Norway with stochastic programming analysis
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- Increasing convex order on generalized aggregation of SAI random variables with applications
- Optimal allocations of coverage limits for two independent random losses of insurance policy
- Optimal allocation of policy limits in layer reinsurance treaties
- Allocations of policy limits and ordering relations for aggregate remaining claims
- A note on Mossin’s theorem for deductible insurance given random initial wealth
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