Some new results on allocation of coverage limits and deductibles to mutually independent risks

Chen Li, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This article further investigates the allocation of coverage limits and deductibles to multiple independent risks from the viewpoint of policyholders with increasing utility functions. In a more general setup, we develop the usual stochastic orders on the retained loss, which either generalize or supplement the corresponding results due to Lu and Meng (2011) and Hu and Wang (2014). Also, the most unfavorable and favorable allocations of coverage limits and deductibles are developed for multiple risks with dominated reversed hazard rates and hazard rates, respectively.

Original languageEnglish
Pages (from-to)3934-3948
Number of pages15
JournalCommunications in Statistics - Theory and Methods
Volume46
Issue number8
DOIs
StatePublished - 18 Apr 2017

Keywords

  • DRHR
  • IHR
  • Majorization
  • Reversed hazard rate order

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