TY - JOUR
T1 - Ordering optimal deductible allocations for stochastic arrangement increasing risks
AU - Li, Chen
AU - Li, Xiaohu
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2017/3/1
Y1 - 2017/3/1
N2 - The insurer usually solicits the insured through granting a certain amount of deductible to multiple risks according to his/her own will. Due to the nonlinear nature of the concerned optimization problem, in the literature on the optimal allocations of deductibles researchers usually assume independence or comonotonicity among concerned risks and ignore the impact due to frequency. In this study we build two sufficient conditions for the decreasing optimal allocation of deductibles, relaxing the stochastic arrangement increasing or right tail weakly stochastic arrangement increasing discount factors in Cai and Wei (2014, Theorems 6.3 and 6.6) to the conditionally upper orthant arrangement increasing or weak conditionally upper orthant arrangement increasing frequencies.
AB - The insurer usually solicits the insured through granting a certain amount of deductible to multiple risks according to his/her own will. Due to the nonlinear nature of the concerned optimization problem, in the literature on the optimal allocations of deductibles researchers usually assume independence or comonotonicity among concerned risks and ignore the impact due to frequency. In this study we build two sufficient conditions for the decreasing optimal allocation of deductibles, relaxing the stochastic arrangement increasing or right tail weakly stochastic arrangement increasing discount factors in Cai and Wei (2014, Theorems 6.3 and 6.6) to the conditionally upper orthant arrangement increasing or weak conditionally upper orthant arrangement increasing frequencies.
KW - Comonotone
KW - Conditionally upper orthant arrangement increasing
KW - Mean residual lifetime order
KW - Occurrence frequency
KW - Stochastic order
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U2 - 10.1016/j.insmatheco.2017.01.002
DO - 10.1016/j.insmatheco.2017.01.002
M3 - Article
AN - SCOPUS:85009874230
SN - 0167-6687
VL - 73
SP - 31
EP - 40
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -