Journal of the Iranian Statistical Society

Journal of the Iranian Statistical Society

Optimal Allocation of Policy Layers for Exponential Risks

Authors
Razi University
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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