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Article: Worst allocations of policy limits and deductibles

TitleWorst allocations of policy limits and deductibles
Authors
KeywordsComonotonicity
Majorization Order
Principle Of Equivalent Utility
Stochastic Orders
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2008, v. 43 n. 1, p. 93-98 How to Cite?
AbstractIn the literature, orderings of optimal allocations of policy limits and deductibles were established with respect to a policyholder's preference. However, from the viewpoint of an insurer, the orderings are not enough for the purpose of pricing. In this paper, by applying the equivalent utility premium principle, we study worst allocations of policy limits and deductibles for an insurer, which give rise to the maximum fair premiums. Closed-form solutions are derived. Then we present a result concerning the optimality in a general risk-sharing scheme, by which we obtain optimal allocations for policyholders directly from worst allocations for an insurer. Several results in Cheung [Cheung, K.C., 2007. Optimal allocation of policy limits and deductibles. Insurance Math. Econom. 41, 382-391] are generalized here. © 2008 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172450
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorHua, Len_US
dc.contributor.authorCheung, KCen_US
dc.date.accessioned2012-10-30T06:22:34Z-
dc.date.available2012-10-30T06:22:34Z-
dc.date.issued2008en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2008, v. 43 n. 1, p. 93-98en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172450-
dc.description.abstractIn the literature, orderings of optimal allocations of policy limits and deductibles were established with respect to a policyholder's preference. However, from the viewpoint of an insurer, the orderings are not enough for the purpose of pricing. In this paper, by applying the equivalent utility premium principle, we study worst allocations of policy limits and deductibles for an insurer, which give rise to the maximum fair premiums. Closed-form solutions are derived. Then we present a result concerning the optimality in a general risk-sharing scheme, by which we obtain optimal allocations for policyholders directly from worst allocations for an insurer. Several results in Cheung [Cheung, K.C., 2007. Optimal allocation of policy limits and deductibles. Insurance Math. Econom. 41, 382-391] are generalized here. © 2008 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectComonotonicityen_US
dc.subjectMajorization Orderen_US
dc.subjectPrinciple Of Equivalent Utilityen_US
dc.subjectStochastic Ordersen_US
dc.titleWorst allocations of policy limits and deductiblesen_US
dc.typeArticleen_US
dc.identifier.emailCheung, KC: kccg@hku.hken_US
dc.identifier.authorityCheung, KC=rp00677en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2008.03.005en_US
dc.identifier.scopuseid_2-s2.0-47249165600en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-47249165600&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume43en_US
dc.identifier.issue1en_US
dc.identifier.spage93en_US
dc.identifier.epage98en_US
dc.identifier.isiWOS:000258554800008-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridHua, L=24080183600en_US
dc.identifier.scopusauthoridCheung, KC=10038874000en_US

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