| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077077 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
⺠We model dependent losses in the individual risk model by the PDS random variables. ⺠The convolution preservation of the convex order for the SI and PDS random vectors. ⺠We show the optimality of the excess-of-loss reinsurance with PDS dependent risks. ⺠The explicit solutions for the optimal two-dimensional excess-of-loss reinsurance.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jun Cai, Wei Wei,