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

Xiaohu Li; Yinping You

doi:10.1016/j.insmatheco.2012.02.008

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

Xiaohu Li
, Yinping You

Department of Mathematical Sciences

Xiamen University

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	423-429
Number of pages	7
Journal	Insurance: Mathematics and Economics
Volume	50
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2012.02.008
State	Published - May 2012

Keywords

Archimedean copula
Arrangement increasing
Increasing convex order
Likelihood ratio order
Majorization

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10.1016/j.insmatheco.2012.02.008

Cite this

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title = "On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities",

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.",

keywords = "Archimedean copula, Arrangement increasing, Increasing convex order, Likelihood ratio order, Majorization",

author = "Xiaohu Li and Yinping You",

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T1 - On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

AU - Li, Xiaohu

AU - You, Yinping

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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 - https://www.scopus.com/pages/publications/84862825855

UR - https://www.scopus.com/pages/publications/84862825855#tab=citedBy

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 -

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

Abstract

Keywords

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