Optimal allocation of policy limits and deductibles

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.

MoreLess

Year of publication:	2007
Authors:	Cheung, Ka Chun
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 41.2007, 3, p. 382-391
Publisher:	Elsevier

More details

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005375439