On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

Xiaohu Li and Yinping You

Insurance: Mathematics and Economics, 2012, vol. 50, issue 3, 423-429

Abstract: With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to well allocate the upper limits and the deductibles are built, respectively.

Keywords: Archimedean copula; Arrangement increasing; Increasing convex order; Likelihood ratio order; Majorization (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:3:p:423-429

DOI: 10.1016/j.insmatheco.2012.02.008

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