Optimal capital allocations to interdependent actuarial risks

DOI10.1016/j.insmatheco.2014.05.007zbMath1304.91138OpenAlexW2077835992MaRDI QIDQ2513446

Xiaohu Li, Yinping You

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.05.007

zbMATH Keywords

majorizationArchimedean copulaexchangeablereversed hazard rate orderupper tail permutation decreasing

Mathematics Subject Classification ID

Related Items (19)

Arrangement increasing resource allocation ⋮ On coverage limits and deductibles for SAI loss severities ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ Background risk models and stepwise portfolio construction ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Stochastic comparisons of weighted sums of arrangement increasing random variables ⋮ Allocations of policy limits and ordering relations for aggregate remaining claims ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes ⋮ Aging and ordering properties of multivariate lifetimes with Archimedean dependence structures ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Ordering k-out-of-n systems with interdependent components and one active redundancy ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ On asset allocation for a threshold model with dependent returns ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ Likelihood ratio order of sample minimum from heterogeneous Weibull random variables ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

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