Some new notions of dependence with applications in optimal allocation problems
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Publication:743160
DOI10.1016/j.insmatheco.2014.01.009zbMath1296.91246OpenAlexW2025258739MaRDI QIDQ743160
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.009
copulastochastic ordercomonotonicityoptimal allocationdeductiblearrangement increasingRWSAISAIcapital reserveCUOAIdependence notionpolicy limitUOAI
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Cites Work
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- Asymptotics for risk capital allocations based on conditional tail expectation
- Stochastic orders
- Worst allocations of policy limits and deductibles
- Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- Optimal allocation of policy limits and deductibles
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Bivariate characterization of some stochastic order relations
- Extension of the bivariate characterization for stochastic orders
- Inequalities: theory of majorization and its applications
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