Abstract
This paper studies allocation of coverage limits and deductibles for dependent losses in the frame of utility theory. The optimal allocation of deductibles is derived for SAI losses without frequency impact, and the optimal allocation of coverage limits (deductibles) for SAI loss severities with RWSAI frequencies are proved to be arrayed in ascending (descending) order. Sufficient conditions to exclude the worst allocation of coverage limits are built for comonotonic loss severities with RWSAI frequencies. A real application in house property insurance is presented as well.
Original language | English |
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Pages (from-to) | 341-357 |
Number of pages | 17 |
Journal | Annals of Operations Research |
Volume | 297 |
Issue number | 1-2 |
DOIs | |
State | Published - Feb 2021 |
Keywords
- Majorization
- RWSAI
- SAI
- Stochastic orders
- WSAI