Title of article
Optimal Allocation of Policy Layers for Exponential Risks
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
Pages
16
From page
1
To page
16
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
Serial Year
2019
Record number
2495652
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