Optimal allocations of coverage limits for two independent random losses of insurance policy

Yinping You, Xiaohu Li and Jairo Santanilla

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 497-509

Abstract: This article recasts the optimal allocations of coverage limits for two independent random losses. Under some regularity conditions on the two concerned probability density functions, we build the sufficient and necessary condition for the existence of the optimal allocation of coverage limits, and derive the optimal allocation whenever they do exist. The results supplement Lu and Meng (2011, Proposition 5.2) and Hu and Wang (2014, Theorem 5.1).

Date: 2017
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DOI: 10.1080/03610926.2014.997360

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