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- Publisher Website: 10.1016/j.insmatheco.2006.11.010
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Article: Optimal allocation of policy limits and deductibles
Title | Optimal allocation of policy limits and deductibles |
---|---|
Authors | |
Keywords | Arrangement Increasing Functions Comonotonicity Dependence Structure Stochastic Order |
Issue Date | 2007 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2007, v. 41 n. 3, p. 382-391 How to Cite? |
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. © 2006 Elsevier Ltd. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172439 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:32Z | - |
dc.date.available | 2012-10-30T06:22:32Z | - |
dc.date.issued | 2007 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2007, v. 41 n. 3, p. 382-391 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172439 | - |
dc.description.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. © 2006 Elsevier Ltd. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Arrangement Increasing Functions | en_US |
dc.subject | Comonotonicity | en_US |
dc.subject | Dependence Structure | en_US |
dc.subject | Stochastic Order | en_US |
dc.title | Optimal allocation of policy limits and deductibles | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
dc.identifier.authority | Cheung, KC=rp00677 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2006.11.010 | en_US |
dc.identifier.scopus | eid_2-s2.0-35348862462 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-35348862462&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 41 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 382 | en_US |
dc.identifier.epage | 391 | en_US |
dc.identifier.isi | WOS:000251193000005 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.issnl | 0167-6687 | - |