On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

This paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.

Original languageEnglish
Pages (from-to)145-153
Number of pages9
JournalDependence Modeling
Volume5
Issue number1
DOIs
StatePublished - 2017

Keywords

  • Coverage limits
  • Discount rate
  • Increasing convex order
  • Loss function
  • Utility function

Fingerprint

Dive into the research topics of 'On capital allocation for stochastic arrangement increasing actuarial risks'. Together they form a unique fingerprint.

Cite this