On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to well allocate the upper limits and the deductibles are built, respectively.

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Year of publication:	2012
Authors:	Li, Xiaohu ; You, Yinping
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 3, p. 423-429
Publisher:	Elsevier
Subject:	Archimedean copula \| Arrangement increasing \| Increasing convex order \| Likelihood ratio order \| Majorization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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