Optimal insurance under multiple sources of risk with positive dependence
DOI10.1016/J.INSMATHECO.2012.06.011zbMATH Open1284.91253OpenAlexW2031693564MaRDI QIDQ2445360FDOQ2445360
Authors: Leping Liu, Jianyu Zhang, ZhiYi Lu, LiLi Meng 
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.011
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positive dependenceexpectation premium principledeductible insuranceoptimal insuranceuninsurable risks
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
- Title not available (Why is that?)
- An introduction to copulas.
- Optimal reinsurance in relation to ordering of risks
- Comparison methods for stochastic models and risks
- Stochastic orders
- Changes in Background Risk and Risk Taking Behavior
- Optimal reinsurance under general law-invariant risk measures
- Optimal risk sharing with background risk
- Stochastic Comparison of Random Vectors with a Common Copula
- Handbook of mathematical economics. Vol. I
- Optimal reinsurance with positively dependent risks
- Aspects of optimal insurance demand when there are uninsurable risks
Cited In (16)
- Optimal insurance with counterparty and additive background risk
- The solution of the optimal insurance problem with background risk
- Remarks on the Mossin Theorem
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- On the positive correlation property in competitive insurance markets
- Optimum insurance contracts with background risk and higher-order risk attitudes
- Optimal incentive-compatible insurance with background risk
- Optimal insurance design under background risk with dependence
- Universally marketable insurance under multivariate mixtures
- Optimal insurance with background risk: an analysis of general dependence structures
- On expected utility for financial insurance portfolios with stochastic dependencies
- Optimal insurance design in the presence of exclusion clauses
- The effect of risk constraints on the optimal insurance policy
- Optimal health insurance and trade-off between health and wealth
- The bounds of premium and optimality of stop loss insurance under uncertain random environments
- Convex risk measures for the aggregation of multiple information sources and applications in insurance
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