Optimal allocation of policy layers for exponential risks Article

Amiri, M, Izadi, M, Khaledi, BE. (2019). Optimal allocation of policy layers for exponential risks . Journal of the Iranian Statistical Society, 18(1), 1-16. 10.29252/JIRSS.18.1.1

cited authors

  • Amiri, M; Izadi, M; Khaledi, BE

abstract

  • In this paper, we study the problem of optimal allocation of insurance layers for a portfolio of i.i.d exponential risks. Using the first stochastic dominance criterion, we obtain an optimal allocation for the total retain risks faced by a policyholder. This result partially generalizes the known result in the literature for deductible as well as policy limit coverages.

authors

publication date

  • January 1, 2019

published in

Digital Object Identifier (DOI)

start page

  • 1

end page

  • 16

volume

  • 18

issue

  • 1