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PhD Razi University
Abstract:   (611 Views)
‎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. 
     
Type of Study: Original Paper | Subject: 62Axx: Foundations
Received: 2017/10/9 | Accepted: 2018/03/1 | Published: 2018/03/1