Some new notions of dependence with applications in optimal allocation problems

DOI10.1016/j.insmatheco.2014.01.009zbMath1296.91246OpenAlexW2025258739MaRDI QIDQ743160

Wei Wei, Jun Cai

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

zbMATH Keywords

copulastochastic ordercomonotonicityoptimal allocationdeductiblearrangement increasingRWSAISAIcapital reserveCUOAIdependence notionpolicy limitUOAI

Mathematics Subject Classification ID

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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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