Optimal allocation of policy deductibles for exchangeable risks

DOI10.1016/J.INSMATHECO.2016.07.010MaRDI QIDQ2374099zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2172354 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Comparison methods for stochastic models and risks
• Inequalities: theory of majorization and its applications
• Log-concave probability and its applications
• On risk aversion with two risks
• Optimal allocation of policy limits and deductibles
• Optimal capital allocations to interdependent actuarial risks
• Optimal reinsurance and stop-loss order
• Optimal reinsurance in relation to ordering of risks
• Risk measurement in the presence of background risk
• Risk taking with additive and multiplicative background risks
• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Stochastic comparisons of capital allocations with applications
• Stochastic orders
• Stochastic orders of scalar products with applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Worst allocations of policy limits and deductibles

Cited in

(11)

• Optimal risk transfers in insurance groups
• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• The fundamental theorem of mutual insurance
• On coverage limits and deductibles for SAI loss severities
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Ordering optimal deductible allocations for stochastic arrangement increasing risks
• scientific article; zbMATH DE number 3988572 (Why is no real title available?)
• Optimal premium allocation under stop-loss insurance using exposure curves
• Optimal allocation of policy limits in layer reinsurance treaties
• Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages

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