指数风险下政策层的优化配置

IF 0.1 Q4 STATISTICS & PROBABILITY

JIRSS-Journal of the Iranian Statistical Society Pub Date : 2019-06-10 DOI:10.29252/JIRSS.18.1.1

Masoud Amiri, Muhyiddin Izadi, Baha-Eldin Khaledi

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引用次数: 1

摘要

本文研究了指数风险投资组合的保险层优化配置问题。利用第一个随机优势准则，我们得到了投保人面临的总保留风险的最优分配。这一结果部分概括了文献中关于免赔额和保单限额的已知结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal Allocation of Policy Layers for Exponential Risks

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.

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来源期刊

JIRSS-Journal of the Iranian Statistical Society STATISTICS & PROBABILITY-

CiteScore

1.50

自引率

0.00%

发文量