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 language | English |
|---|---|
| Pages (from-to) | 485-501 |
| Number of pages | 17 |
| Journal | Annals of Operations Research |
| Volume | 259 |
| Issue number | 1-2 |
| DOIs | |
| State | Published - 1 Dec 2017 |
Keywords
- Archimedean copula
- Log-convex
- Stochastic orders
- Upper tail permutation decreasing
- Zero-utility premium
Fingerprint
Dive into the research topics of 'Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver