Some new results on allocation of coverage limits and deductibles to mutually independent risks |
| |
Authors: | Chen Li |
| |
Affiliation: | School of Mathematical Sciences, Xiamen University, Xiamen Fujian, China |
| |
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 Lu, Z., Meng, L. (2011). Stochastic comparisons for allocations of policy limits and deductibles with applications. Insur. Math. Econ. 48:338–343. [Google Scholar]) and Hu and Wang (2014 Hu, S., Wang, R. (2014). Stochastic comparisons and optimal allocation for policy limits and deductibles. Commun. Stat. Theory Methods 43:151–164. [Google Scholar]). 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. |
| |
Keywords: | DRHR IHR Majorization Reversed hazard rate order. |
|
|