TY - JOUR
T1 - Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
AU - You, Yinping
AU - Li, Xiaohu
N1 - Publisher Copyright:
© 2017, Springer Science+Business Media New York.
PY - 2017/12/1
Y1 - 2017/12/1
N2 - This paper has a further study on the insurer’s most unfavorable deductibles and coverage limits for interdependent random losses in the context of the zero-utility premium. For multiple random losses equipped with Archimedean copulas, we conduct stochastic comparison on the insurer’s most unfavorable deductibles and most unfavorable coverage limits, respectively. Also, we build the most unfavorable deductibles for risk-averse insurers. The main results extend and complement those related ones in the literature.
AB - This paper has a further study on the insurer’s most unfavorable deductibles and coverage limits for interdependent random losses in the context of the zero-utility premium. For multiple random losses equipped with Archimedean copulas, we conduct stochastic comparison on the insurer’s most unfavorable deductibles and most unfavorable coverage limits, respectively. Also, we build the most unfavorable deductibles for risk-averse insurers. The main results extend and complement those related ones in the literature.
KW - Archimedean copula
KW - Log-convex
KW - Stochastic orders
KW - Upper tail permutation decreasing
KW - Zero-utility premium
UR - http://www.scopus.com/inward/record.url?scp=85019660850&partnerID=8YFLogxK
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U2 - 10.1007/s10479-017-2537-9
DO - 10.1007/s10479-017-2537-9
M3 - Article
AN - SCOPUS:85019660850
SN - 0254-5330
VL - 259
SP - 485
EP - 501
JO - Annals of Operations Research
JF - Annals of Operations Research
IS - 1-2
ER -