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Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas

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  • Yinping You

    (Huaqiao University)

  • Xiaohu Li

    (Stevens Institute of Technology)

Abstract

This paper has a further study on the insurer’s most unfavorable deductibles and coverage limits for interdependent random losses in the context of the zero-utility premium. For multiple random losses equipped with Archimedean copulas, we conduct stochastic comparison on the insurer’s most unfavorable deductibles and most unfavorable coverage limits, respectively. Also, we build the most unfavorable deductibles for risk-averse insurers. The main results extend and complement those related ones in the literature.

Suggested Citation

  • Yinping You & Xiaohu Li, 2017. "Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas," Annals of Operations Research, Springer, vol. 259(1), pages 485-501, December.
    • Handle: RePEc:spr:annopr:v:259:y:2017:i:1:d:10.1007_s10479-017-2537-9
    DOI: 10.1007/s10479-017-2537-9
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    References listed on IDEAS

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    2. Pan Xiaoqing & Li Xiaohu, 2017. "On capital allocation for stochastic arrangement increasing actuarial risks," Dependence Modeling, De Gruyter, vol. 5(1), pages 145-153, January.

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