Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas

Yinping You and Xiaohu Li ()
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Yinping You: Huaqiao University
Xiaohu Li: Stevens Institute of Technology

Annals of Operations Research, 2017, vol. 259, issue 1, No 20, 485-501

Abstract: Abstract This paper has a further study on the insurer’s most unfavorable deductibles and coverage limits for interdependent random losses in the context of the zero-utility premium. For multiple random losses equipped with Archimedean copulas, we conduct stochastic comparison on the insurer’s most unfavorable deductibles and most unfavorable coverage limits, respectively. Also, we build the most unfavorable deductibles for risk-averse insurers. The main results extend and complement those related ones in the literature.

Keywords: Archimedean copula; Log-convex; Stochastic orders; Upper tail permutation decreasing; Zero-utility premium (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10479-017-2537-9

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