Optimal allocation of policy deductibles for exchangeable risks

Manesh, Sirous Fathi; Khaledi, ‎Baha-Eldin; Dhaene, Jan

doi:10.1016/j.insmatheco.2016.07.010

Cited by 6 publications

(4 citation statements)

References 16 publications

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“…Similar studies have been conducted, for example, by Lu and Meng (2011) and Manesh et al (2016). In their papers, the retained risk is minimized in the sense of the usual stochastic order, and the logconcavity of the marginal distribution function or exchangeability is assumed.…”

Section: Allocation Of Policy Limits and Deductiblesmentioning

confidence: 92%

“…, n}, and u is a utility function. Since initially proposed by Cheung (2007), these two problems have been extensively studied by many authors, see, for example, Li and You (2012), Zhuang et al (2009), Lu and Meng (2011), and Manesh et al (2016, and rich results have been established. Below, we reprove some of those results from a simplified approach, which illustrates the convenience of using the properties of the SAI notion derived in Section 3.…”

Section: Allocation Of Policy Limits and Deductiblesmentioning

confidence: 99%

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Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Wei

2018

Risks

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Abstract:There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results.

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Section: Allocation Of Policy Limits and Deductiblesmentioning

confidence: 92%

Section: Allocation Of Policy Limits and Deductiblesmentioning

confidence: 99%

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Wei

2018

Risks

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“…Li and You [30] addressed the allocation problem of upper limits and deductibles discussed in Hua and Cheung [24] by modeling occurrence frequencies of the risks with Archimedean copulas. For more recent relevant studies, we refer interested readers to Manesh and Khaledi [32], Manesh et al [33], Li and Li [29], and You and Li [39].…”

Section: Introductionmentioning

confidence: 99%

Optimal allocation of policy limits in layer reinsurance treaties

Wang

Zhang³

et al. 2022

Prob. Eng. Inf. Sci.

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Layer reinsurance treaty is a common form obtained in the problem of optimal reinsurance design. In this paper, we study allocations of policy limits in layer reinsurance treaties with dependent risks. We investigate the effects of orderings and heterogeneity among policy limits on the expected utility functions of the terminal wealth from the viewpoint of risk-averse insurers faced with right tail weakly stochastic arrangement increasing losses. Orderings on optimal allocations are presented for normal layer reinsurance contracts under certain conditions. Parallel studies are also conducted for randomized layer reinsurance contracts. As a special case, the worst allocations of policy limits are also identified when the exact dependence structure among the losses is unknown. Numerical examples are presented to shed light on the theoretical findings.

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“…Coen and Mena determined certain ruin probabilities according to a discrete‐time risk surplus process model under a Bayesian framework for claim amounts. Manesh et al analyzed an optimal allocation problem for random sums of deductibles in insurance contracts with exchangeable claim amounts.…”

Section: Introductionmentioning

confidence: 99%

The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences

Gebizlioğlu

Eryılmaz

2018

Appl Stoch Models Bus & Ind

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This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First, a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically, the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution, the computation of the minimum surplus distribution is given. Asset and risk management-oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition, comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model, for which claim occurrences are independent and identically distributed. KEYWORDSbeta-binomial distribution, compound binomial model, dependence, economic capital, exchangeable random variables, maximum surplus, risk reserve 858

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Optimal allocation of policy deductibles for exchangeable risks

Cited by 6 publications

References 16 publications

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

Optimal allocation of policy limits in layer reinsurance treaties

The maximum surplus in a finite‐time interval for a discrete‐time risk model with exchangeable, dependent claim occurrences

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