Author/Authors :
Amiri, Masoud Department of Statistics - Razi University, Kermanshah, Iran , Izadi, Muhyiddin Department of Statistics - Razi University, Kermanshah, Iran , Khaledi, Baha-Eldin Department of Statistics - Razi University, Kermanshah, Iran
Abstract :
In this paper, we study the problem of optimal allocation of insurance layers
for a portfolio of i.i.d exponential risks. Using the first stochastic dominance criterion,
we obtain an optimal allocation for the total retain risks faced by a policyholder. This
result partially generalizes the known result in the literature for deductible as well as
policy limit coverages.
Keywords :
Utility functions , Schur-convex functions , Policy limit , First stochastic dominance , Deductible policy , Majorization
