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.
@article{bwmeta1.element.doi-10_1515_demo-2017-0010,
author = {Xiaoqing Pan and Xiaohu Li},
title = {On capital allocation for stochastic arrangement increasing actuarial risks},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {145-153},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0010}
}
Xiaoqing Pan; Xiaohu Li. On capital allocation for stochastic arrangement increasing actuarial risks. Dependence Modeling, Tome 5 (2017) pp. 145-153. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0010/