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

被引：6

作者：

You, Yinping ^{[1
]}

Li, Xiaohu ^{[2
]}

机构：

[1] Huaqiao Univ, Sch Math Sci, Res Ctr Appl Stat & Big Data, Quanzhou 362021, Fujian, Peoples R China

[2] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA

来源：

ANNALS OF OPERATIONS RESEARCH | 2017年 / 259卷 / 1-2期

基金：

中国国家自然科学基金;

关键词：

Archimedean copula; Log-convex; Stochastic orders; Upper tail permutation decreasing; Zero-utility premium; OPTIMAL ALLOCATION; POLICY LIMITS; CAPITAL ALLOCATIONS; MONOTONE-FUNCTIONS; STOCHASTIC ORDERS; SCALAR PRODUCTS;

D O I：

10.1007/s10479-017-2537-9

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：485 / 501

页数：17

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