Worst allocations of policy limits and deductibles

DOI10.1016/J.INSMATHECO.2008.03.005MaRDI QIDQ938037zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic orderscomonotonicitymajorization orderprinciple of equivalent utility

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 3712886 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• Comonotonicity and maximal stop-loss premiums
• Comparison methods for stochastic models and risks
• Extension of the bivariate characterization for stochastic orders
• Inequalities: theory of majorization and its applications
• Optimal allocation of policy limits and deductibles
• Stochastic orders
• Stochastic orders of scalar products with applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Upper and lower bounds for sums of random variables

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
• On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
• Stochastic comparisons of capital allocations with applications
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
• Ordering properties of generalized aggregation 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
• Applications of conditional comonotonicity to some optimization problems
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management
• On capital allocation for stochastic arrangement increasing actuarial risks

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