On capital allocation for stochastic arrangement increasing actuarial risks

On capital allocation for stochastic arrangement increasing actuarial risks AbstractThis paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

On capital allocation for stochastic arrangement increasing actuarial risks

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Publisher
de Gruyter
Copyright
© 2017
ISSN
2300-2298
eISSN
2300-2298
D.O.I.
10.1515/demo-2017-0010
Publisher site
See Article on Publisher Site

Abstract

AbstractThis paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.

Journal

Dependence Modelingde Gruyter

Published: Jan 26, 2017

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