Optimal allocation of policy limits and deductibles
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Publication:2463571
DOI10.1016/J.INSMATHECO.2006.11.010zbMATH Open1141.91560OpenAlexW2005173964MaRDI QIDQ2463571FDOQ2463571
Authors: K. C. Cheung 
Publication date: 14 December 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.010
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- Upper and lower bounds for sums of random variables
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- Comonotonicity and maximal stop-loss premiums
Cited In (34)
- 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
- Title not available (Why is that?)
- A simple insurance model: optimal coverage and deductible
- Optimal allocation of policy deductibles for exchangeable risks
- Arrangement increasing resource allocation
- Ordering optimal deductible allocations for stochastic arrangement increasing risks
- Stochastic orders of scalar products with applications
- Worst allocations of policy limits and deductibles
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Some new notions of dependence with applications in optimal allocation problems
- Optimal allocation of policy layers for exponential risks
- Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
- Increasing convex order on generalized aggregation of SAI random variables with applications
- Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
- Optimal allocations of coverage limits for two independent random losses of insurance policy
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- On extremes of bivariate residual lifetimes from generalized Marshall-Olkin and time transformed exponential models
- Optimal allocation of policy limits in layer reinsurance treaties
- Comparative statics of changes in risk on monotonically and partially responsive kinked payoffs
- Functional characterizations of bivariate weak SAI with an application
- On the increasing convex order of generalized aggregation of dependent random variables
- Allocations of policy limits and ordering relations for aggregate remaining claims
- Comparisons on aggregate risks from two sets of heterogeneous portfolios
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- Applications of conditional comonotonicity to some optimization problems
- Some new results on allocation of coverage limits and deductibles to mutually independent risks
- Some new results on policy limit allocations
- On capital allocation for stochastic arrangement increasing actuarial risks
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