On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

Xiaohu Li, Yinping You

Research output: Contribution to journalArticlepeer-review

15 Scopus citations

Abstract

With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to well allocate the upper limits and the deductibles are built, respectively.

Original languageEnglish
Pages (from-to)423-429
Number of pages7
JournalInsurance: Mathematics and Economics
Volume50
Issue number3
DOIs
StatePublished - May 2012

Keywords

  • Archimedean copula
  • Arrangement increasing
  • Increasing convex order
  • Likelihood ratio order
  • Majorization

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