Some new results on allocation of coverage limits and deductibles to mutually independent risks

Abstract

This paper further investigates the allocation of coverage limits and deductibles to multiple independent risks from the viewpoint of policyholders with increasing utility functions. In a more general setup, we develop the usual stochastic orders on the retained loss, which either generalize or supplement the corresponding results due to Lu andMeng (2011) andWang (2014). Also, the most unfavorable and favorable allocations of coverage limits and deductibles are developed for multiple risks with dominated reversed hazard rates and hazard rates, respectively.