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On capital allocation for stochastic arrangement increasing actuarial risks

Author

Listed:
  • Pan Xiaoqing

    (Department of Physiology, Medical College of Wisconsin, Milwaukee, Wisconsin 53226, USA)

  • Li Xiaohu

    (Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, New Jersey 07030, USA)

Abstract

This paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.

Suggested Citation

  • 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.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:145-153:n:10
    DOI: 10.1515/demo-2017-0010
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    References listed on IDEAS

    as
    1. Pan, Xiaoqing & Yuan, Min & Kochar, Subhash C., 2015. "Stochastic comparisons of weighted sums of arrangement increasing random variables," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 42-50.
    2. Cheung, Ka Chun, 2007. "Optimal allocation of policy limits and deductibles," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 382-391, November.
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    7. Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
    8. 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.
    9. Hua, Lei & Cheung, Ka Chun, 2008. "Worst allocations of policy limits and deductibles," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 93-98, August.
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    Cited by:

    1. Wei Wei, 2018. "Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems," Risks, MDPI, vol. 6(2), pages 1-12, April.

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