Worst allocations of policy limits and deductibles

DOI10.1016/J.INSMATHECO.2008.03.005zbMATH Open1140.91421OpenAlexW2116115261MaRDI QIDQ938037FDOQ938037

Authors: Lei Hua, K. C. Cheung 

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.005

Recommendations

• Optimal allocation of policy limits and deductibles
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• On coverage limits and deductibles for SAI loss severities

zbMATH Keywords

stochastic orderscomonotonicitymajorization orderprinciple of equivalent utility

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Cites Work

• Title not available (Why is that?)
• Comparison methods for stochastic models and risks
• Stochastic orders
• Inequalities: theory of majorization and its applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Optimal allocation of policy limits and deductibles
• Title not available (Why is that?)
• Extension of the bivariate characterization for stochastic orders
• Upper and lower bounds for sums of random variables
• Stochastic orders of scalar products with applications
• Comonotonicity and maximal stop-loss premiums

Cited In (21)

• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• On coverage limits and deductibles for SAI loss severities
• Optimal capital allocations to interdependent actuarial risks
• 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
• Optimal allocation of policy deductibles for exchangeable risks
• Ordering optimal deductible allocations for stochastic arrangement increasing risks
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Some new notions of dependence with applications in optimal allocation problems
• 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
• Optimal allocation of policy limits in layer reinsurance treaties
• Optimal allocation of policy limits and deductibles
• Allocations of policy limits and ordering relations for aggregate remaining claims
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management
• Applications of conditional comonotonicity to some optimization problems
• On capital allocation for stochastic arrangement increasing actuarial risks

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