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 language | English |
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Pages (from-to) | 145-153 |
Number of pages | 9 |
Journal | Dependence Modeling |
Volume | 5 |
Issue number | 1 |
DOIs | |
State | Published - 2017 |
Keywords
- Coverage limits
- Discount rate
- Increasing convex order
- Loss function
- Utility function