On capital allocation for stochastic arrangement increasing actuarial risks

Xiaoqing Pan, Xiaohu Li
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