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On coverage limits and deductibles for SAI loss severities

Author

Listed:
  • Yinping You

    (Huaqiao University)

  • Xiaohu Li

    (Stevens Institute of Technology)

  • Rui Fang

    (Shantou University)

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.

Suggested Citation

  • Yinping You & Xiaohu Li & Rui Fang, 2021. "On coverage limits and deductibles for SAI loss severities," Annals of Operations Research, Springer, vol. 297(1), pages 341-357, February.
    • Handle: RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03770-x
    DOI: 10.1007/s10479-020-03770-x
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    References listed on IDEAS

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