On coverage limits and deductibles for SAI loss severities

Yinping You, Xiaohu Li, Rui Fang

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)341-357
Number of pages17
JournalAnnals of Operations Research
Volume297
Issue number1-2
DOIs
StatePublished - Feb 2021

Keywords

  • Majorization
  • RWSAI
  • SAI
  • Stochastic orders
  • WSAI

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