IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1411.1609.html
   My bibliography  Save this paper

On Stochastic Orders and its applications : Policy limits and Deductibles

Author

Listed:
  • Halim Zeghdoudi
  • Meriem Bouhadjar
  • Mohamed Riad Remita

Abstract

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance contracts and dependent portfolios increase risk. More precisely, we propose a new model for insurance risks while we give some properties. To this end, we obtain the ordering of the optimal allocation of policy limits and deductibles for this model.

Suggested Citation

  • Halim Zeghdoudi & Meriem Bouhadjar & Mohamed Riad Remita, 2014. "On Stochastic Orders and its applications : Policy limits and Deductibles," Papers 1411.1609, arXiv.org, revised Jan 2015.
    • Handle: RePEc:arx:papers:1411.1609
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1411.1609
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Cheung, Ka Chun, 2007. "Optimal allocation of policy limits and deductibles," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 382-391, November.
    2. Hua, Lei & Cheung, Ka Chun, 2008. "Stochastic orders of scalar products with applications," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 865-872, June.
    3. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    4. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Manesh, Sirous Fathi & Khaledi, Baha-Eldin & Dhaene, Jan, 2016. "Optimal allocation of policy deductibles for exchangeable risks," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 87-92.
    2. Maria Mercè Claramunt & Maite Màrmol, 2020. "Refundable deductible insurance," Working Papers hal-02909299, HAL.
    3. Cheung, Ka Chun, 2009. "Applications of conditional comonotonicity to some optimization problems," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 89-93, August.
    4. Zhang, Yiying & Cheung, Ka Chun, 2020. "On the increasing convex order of generalized aggregation of dependent random variables," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 61-69.
    5. 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.
    6. Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
    7. Zhang, Yiying & Zhao, Peng, 2015. "Comparisons on aggregate risks from two sets of heterogeneous portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 124-135.
    8. Zhuang, Weiwei & Chen, Zijin & Hu, Taizhong, 2009. "Optimal allocation of policy limits and deductibles under distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 409-414, June.
    9. Choo, Weihao & de Jong, Piet, 2015. "The tradeoff insurance premium as a two-sided generalisation of the distortion premium," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 238-246.
    10. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    11. Zheng, Yanting & Yang, Jingping & Huang, Jianhua Z., 2011. "Approximation of bivariate copulas by patched bivariate Fréchet copulas," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 246-256, March.
    12. Antonella Campana, 2007. "On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(2), pages 169-180, December.
    13. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
    14. Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
    15. Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2021. "Mortality credits within large survivor funds," LIDAM Discussion Papers ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    16. Nam, Hee Seok & Tang, Qihe & Yang, Fan, 2011. "Characterization of upper comonotonicity via tail convex order," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 368-373, May.
    17. Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S., 2008. "Some results on the CTE-based capital allocation rule," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 855-863, April.
    18. Kaas, Rob & Tang, Qihe, 2005. "A large deviation result for aggregate claims with dependent claim occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 251-259, June.
    19. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
    20. Barczy, Mátyás & K. Nedényi, Fanni & Sütő, László, 2023. "Probability equivalent level of Value at Risk and higher-order Expected Shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 107-128.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1411.1609. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.