On capital allocation for stochastic arrangement increasing actuarial risks
Abstract: This paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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On capital allocation for stochastic arrangement increasing actuarial risks ; volume:5 ; number:1 ; year:2017 ; pages:145-153 ; extent:9
Dependence modeling ; 5, Heft 1 (2017), 145-153 (gesamt 9)
- Creator
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Pan, Xiaoqing
Li, Xiaohu
- DOI
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10.1515/demo-2017-0010
- URN
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urn:nbn:de:101:1-2411181557216.310283765078
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:38 AM CEST
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Associated
- Pan, Xiaoqing
- Li, Xiaohu
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