On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan; Xiaohu Li

doi:10.1515/demo-2017-0010

On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan
, Xiaohu Li

Department of Mathematical Sciences

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	145-153
Number of pages	9
Journal	Dependence Modeling
Volume	5
Issue number	1
DOIs	https://doi.org/10.1515/demo-2017-0010
State	Published - 2017

Keywords

Coverage limits
Discount rate
Increasing convex order
Loss function
Utility function

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title = "On capital allocation for stochastic arrangement increasing actuarial risks",

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.",

keywords = "Coverage limits, Discount rate, Increasing convex order, Loss function, Utility function",

author = "Xiaoqing Pan and Xiaohu Li",

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KW - Discount rate

KW - Increasing convex order

KW - Loss function

KW - Utility function

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JO - Dependence Modeling

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On capital allocation for stochastic arrangement increasing actuarial risks

Abstract

Keywords

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