Ordering optimal deductible allocations for stochastic arrangement increasing risks

Li, Chen; Li, Xiaohu

doi:10.1016/j.insmatheco.2017.01.002

Cited by 3 publications

(1 citation statement)

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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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