Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors

DOI10.1016/J.CAM.2010.04.007MaRDI QIDQ984903zbMATH OpenOpenAlexFDO

Authors Fengxia Hu, Rongming Wang

Publication date 20 July 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.04.007

zbMATH Keywords

conditional expectationstochastic orderscomonotonicityrisksloss frequency

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• An optimization approach to the dynamic allocation of economic capital
• Dynamic capital allocation with distortion risk measures
• Economic Capital Allocation Derived from Risk Measures
• On the dependency of risks in the individual life model
• Optimal allocation of policy limits and deductibles
• Optimal portfolio problem with unknown dependency structure
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
• Stochastic orders
• Stochastic orders of scalar products with applications
• The concept of comonotonicity in actuarial science and finance: theory.
• The safest dependence structure among risks.
• To split or not to split: Capital allocation with convex risk measures

Cited in

(13)

• Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
• Arrangement increasing resource allocation
• Ordering optimal deductible allocations for stochastic arrangement increasing risks
• Worst allocations of policy limits and deductibles
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Some new notions of dependence with applications in optimal allocation problems
• Optimal allocation of policy layers for exponential risks
• Optimal allocations of coverage limits for two independent random losses of insurance policy
• Stochastic comparisons for allocations of policy limits and deductibles with applications
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• Optimal allocation of policy limits and deductibles
• On capital allocation for stochastic arrangement increasing actuarial risks

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