Optimal allocation of policy limits and deductibles |
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| Authors: | Ka Chun Cheung |
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| Institution: | Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada |
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| Abstract: | In this paper, we study the problems of optimal allocation of policy limits and deductibles. Several objective functions are considered: maximizing the expected utility of wealth assuming the losses are independent, minimizing the expected total retained loss and maximizing the expected utility of wealth when the dependence structure is unknown. Orderings of the optimal allocations are obtained. |
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| Keywords: | Arrangement increasing functions Stochastic order Dependence structure Comonotonicity |
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