On capital allocation for stochastic arrangement increasing actuarial risks

Pan Xiaoqing and Li Xiaohu ()
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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

Dependence Modeling, 2017, vol. 5, issue 1, 145-153

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.

Keywords: Coverage limits; Discount rate; Increasing convex order; Loss function; Utility function (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:145-153:n:10

DOI: 10.1515/demo-2017-0010

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