On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan, and Xiaohu Li. "On capital allocation for stochastic arrangement increasing actuarial risks." Dependence Modeling 5.1 (2017): 145-153. <http://eudml.org/doc/288537>.

@article{XiaoqingPan2017,
abstract = {This 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.},
author = {Xiaoqing Pan, Xiaohu Li},
journal = {Dependence Modeling},
keywords = {Coverage limits; Discount rate; Increasing convex order; Loss function; Utility function},
language = {eng},
number = {1},
pages = {145-153},
title = {On capital allocation for stochastic arrangement increasing actuarial risks},
url = {http://eudml.org/doc/288537},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Xiaoqing Pan
AU - Xiaohu Li
TI - On capital allocation for stochastic arrangement increasing actuarial risks
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 145
EP - 153
AB - This 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.
LA - eng
KW - Coverage limits; Discount rate; Increasing convex order; Loss function; Utility function
UR - http://eudml.org/doc/288537
ER -