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

DOI10.1016/j.cam.2010.04.007zbMath1200.91138MaRDI QIDQ984903

Rong-Ming Wang, Fengxia Hu

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

stochastic orders; conditional expectation; comonotonicity; risks; loss frequency

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G30: Interest rates, asset pricing, etc. (stochastic models)

49K45: Optimality conditions for problems involving randomness

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