Ordering optimal deductible allocations for stochastic arrangement increasing risks

Chen Li and Xiaohu Li

Insurance: Mathematics and Economics, 2017, vol. 73, issue C, 31-40

Abstract: The insurer usually solicits the insured through granting a certain amount of deductible to multiple risks according to his/her own will. Due to the nonlinear nature of the concerned optimization problem, in the literature on the optimal allocations of deductibles researchers usually assume independence or comonotonicity among concerned risks and ignore the impact due to frequency. In this study we build two sufficient conditions for the decreasing optimal allocation of deductibles, relaxing the stochastic arrangement increasing or right tail weakly stochastic arrangement increasing discount factors in Cai and Wei (2014, Theorems 6.3 and 6.6) to the conditionally upper orthant arrangement increasing or weak conditionally upper orthant arrangement increasing frequencies.

Keywords: Comonotone; Conditionally upper orthant arrangement increasing; Occurrence frequency; Stochastic order; Mean residual lifetime order (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:73:y:2017:i:c:p:31-40

DOI: 10.1016/j.insmatheco.2017.01.002

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