Optimal Allocation of Policy Layers for Exponential Risks

Authors

Razi University

10.29252/jirss.18.1.1

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. 

Keywords

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Volume 18, Issue 1
June 2019
Pages 1-16
  • Receive Date: 23 July 2022
  • Revise Date: 20 May 2024
  • Accept Date: 23 July 2022