Optimal Allocation of Policy Layers for Exponential Risks

نویسندگان
Amiri, Masoud ID 1
Izadi, Muhyiddin ID 2
Khaledi, Baha-Eldin ID 3

1 Razi University

2 Razi University

3 Razi University

doi
10.29252/jirss.18.1.1
چکیده

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. 

کلیدواژه‌ها
Deductible policy‎, ‎First stochastic dominance‎, ‎Majorization‎, ‎policy limit‎, ‎Schur-convex functions‎, ‎Utility functions‎