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On capital allocation for stochastic arrangement increasing actuarial risks
2017
Dependence Modeling
This paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.
doi:10.1515/demo-2017-0010
fatcat:inyjuhnzurha3mvunvasuoldd4