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- Publisher Website: 10.1016/j.insmatheco.2008.03.005
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Article: Worst allocations of policy limits and deductibles
Title | Worst allocations of policy limits and deductibles |
---|---|
Authors | |
Keywords | Comonotonicity Majorization Order Principle Of Equivalent Utility Stochastic Orders |
Issue Date | 2008 |
Publisher | Elsevier 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/172450 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hua, L | en_US |
dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:34Z | - |
dc.date.available | 2012-10-30T06:22:34Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2008, v. 43 n. 1, p. 93-98 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172450 | - |
dc.description.abstract | In 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.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 | Comonotonicity | en_US |
dc.subject | Majorization Order | en_US |
dc.subject | Principle Of Equivalent Utility | en_US |
dc.subject | Stochastic Orders | en_US |
dc.title | Worst allocations 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.2008.03.005 | en_US |
dc.identifier.scopus | eid_2-s2.0-47249165600 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-47249165600&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 43 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 93 | en_US |
dc.identifier.epage | 98 | en_US |
dc.identifier.isi | WOS:000258554800008 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Hua, L=24080183600 | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.issnl | 0167-6687 | - |