Optimal allocation of policy deductibles for exchangeable risks

DOI10.1016/J.INSMATHECO.2016.07.010zbMATH Open1371.91104OpenAlexW3125264904MaRDI QIDQ2374099FDOQ2374099

Authors: Sirous Fathi Manesh, Baha-Eldin Khaledi, J. Dhaene 

Publication date: 14 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.07.010

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zbMATH Keywords

stochastic dominancemajorizationlikelihood ratio orderhazard rate orderincreasing convex orderlog-concave density functionSchur-concave function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

Cites Work

• Inequalities: theory of majorization and its applications
• Title not available (Why is that?)
• Optimal reinsurance in relation to ordering of risks
• Comparison methods for stochastic models and risks
• Stochastic orders
• On risk aversion with two risks
• Log-concave probability and its applications
• Risk taking with additive and multiplicative background risks
• The concept of comonotonicity in actuarial science and finance: theory.
• Optimal allocation of policy limits and deductibles
• Risk measurement in the presence of background risk
• Optimal reinsurance and stop-loss order
• Optimal capital allocations to interdependent actuarial risks
• Title not available (Why is that?)
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Stochastic comparisons of capital allocations with applications
• Stochastic orders of scalar products with applications
• Worst allocations of policy limits and deductibles
• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles

Cited In (10)

• 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
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Title not available (Why is that?)
• The fundamental theorem of mutual insurance
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Optimal allocation of policy limits in layer reinsurance treaties
• Optimal risk transfers in insurance groups
• Optimal premium allocation under stop-loss insurance using exposure curves

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