Optimal allocation of policy limits and deductibles

Ka Chun Cheung

Insurance: Mathematics and Economics, 2007, vol. 41, issue 3, 382-391

Abstract: In this paper, we study the problems of optimal allocation of policy limits and deductibles. Several objective functions are considered: maximizing the expected utility of wealth assuming the losses are independent, minimizing the expected total retained loss and maximizing the expected utility of wealth when the dependence structure is unknown. Orderings of the optimal allocations are obtained.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:41:y:2007:i:3:p:382-391

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