TY - JOUR
T1 - On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
AU - Li, Xiaohu
AU - You, Yinping
PY - 2012/5
Y1 - 2012/5
N2 - 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.
AB - 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.
KW - Archimedean copula
KW - Arrangement increasing
KW - Increasing convex order
KW - Likelihood ratio order
KW - Majorization
UR - http://www.scopus.com/inward/record.url?scp=84862825855&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84862825855&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2012.02.008
DO - 10.1016/j.insmatheco.2012.02.008
M3 - Article
AN - SCOPUS:84862825855
SN - 0167-6687
VL - 50
SP - 423
EP - 429
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 3
ER -