Article ID Journal Published Year Pages File Type
5076132 Insurance: Mathematics and Economics 2017 10 Pages PDF
Abstract

The insurer usually solicits the insured through granting a certain amount of deductible to multiple risks according to his/her own will. Due to the nonlinear nature of the concerned optimization problem, in the literature on the optimal allocations of deductibles researchers usually assume independence or comonotonicity among concerned risks and ignore the impact due to frequency. In this study we build two sufficient conditions for the decreasing optimal allocation of deductibles, relaxing the stochastic arrangement increasing or right tail weakly stochastic arrangement increasing discount factors in Cai and Wei (2014, Theorems 6.3 and 6.6) to the conditionally upper orthant arrangement increasing or weak conditionally upper orthant arrangement increasing frequencies.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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