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Optimal Allocation of Policy Layers for Exponential Risks
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نویسنده
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amiri masoud ,izadi muhyiddin ,khaledi baha-eldin
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منبع
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journal of the iranian statistical society - 2019 - دوره : 18 - شماره : 1 - صفحه:1 -16
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چکیده
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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.
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کلیدواژه
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Deductible policy ,First stochastic dominance ,Majorization ,Policy limit ,Schur-convex functions ,Utility functions.
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آدرس
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razi university, department of statistics, iran, razi university, department of statistics, Iran, razi university, department of statistics, Iran
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Authors
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