Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas

Yinping You, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)485-501
Number of pages17
JournalAnnals of Operations Research
Volume259
Issue number1-2
DOIs
StatePublished - 1 Dec 2017

Keywords

  • Archimedean copula
  • Log-convex
  • Stochastic orders
  • Upper tail permutation decreasing
  • Zero-utility premium

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