Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages Article

Amiri, M, Dhaene, J, Izadi, M et al. (2022). Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages . COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 51(18), 6385-6395. 10.1080/03610926.2020.1861295

cited authors

  • Amiri, M; Dhaene, J; Izadi, M; Khaledi, BE

authors

abstract

  • We consider n risks (Formula presented.) insured by a layer coverage with deductibles and limits given by (Formula presented.) respectively. We investigate the optimal allocation of insurance layers from the viewpoint of the insurer. We derive lower and upper bounds for the survival function of the smallest and largest claim amounts using the first stochastic dominance order. We find that assigning a small deductible and a large limit to large risks increases (decreases) stop-loss premiums of the largest (smallest) claim amounts.

publication date

  • January 1, 2022

published in

Digital Object Identifier (DOI)

start page

  • 6385

end page

  • 6395

volume

  • 51

issue

  • 18