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文章基本信息

  • 标题:On capital allocation for stochastic arrangement increasing actuarial risks
  • 本地全文:下载
  • 作者:Xiaoqing Pan ; Xiaohu Li
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2017
  • 卷号:5
  • 期号:1
  • 页码:145-153
  • DOI:10.1515/demo-2017-0010
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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.

  • 关键词:Coverage limits ; Discount rate ; Increasing convex order ; Loss function ; Utility function
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