On coverage limits and deductibles for SAI loss severities

Yinping You (), Xiaohu Li and Rui Fang
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Yinping You: Huaqiao University
Xiaohu Li: Stevens Institute of Technology
Rui Fang: Shantou University

Annals of Operations Research, 2021, vol. 297, issue 1, No 16, 357 pages

Abstract: Abstract This paper studies allocation of coverage limits and deductibles for dependent losses in the frame of utility theory. The optimal allocation of deductibles is derived for SAI losses without frequency impact, and the optimal allocation of coverage limits (deductibles) for SAI loss severities with RWSAI frequencies are proved to be arrayed in ascending (descending) order. Sufficient conditions to exclude the worst allocation of coverage limits are built for comonotonic loss severities with RWSAI frequencies. A real application in house property insurance is presented as well.

Keywords: Majorization; RWSAI; SAI; Stochastic orders; WSAI; Primary 91B16; 91B30; Secondary 60E15 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10479-020-03770-x

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