Open AccessSome Resultats on Optimal Allocation of Policy Limits and Deductibles: Mixture Model
Author(s) -
Meriem Bouhadjar,
Halim Zeghdoudi,
Abdelali Ezzebsa
Publication year - 2021
Publication title -
european journal of statistics
Language(s) - English
Resource type - Journals
ISSN - 2806-0954
DOI - 10.28924/ada/stat.2.4
Subject(s) - deductible , scalar (mathematics) , product (mathematics) , mathematical optimization , optimal allocation , mathematics , mathematical economics , economics , econometrics , actuarial science , geometry
The main purpose of this paper is to introduce and investigate stochastic orders of scalar products of random vectors. We study the problem of finding maximal expected utility for some functional on insurance portfolios involving some additional (independent) randomization. Furthermore, applications in policy limits and deductible are obtained, we consider the scalar product of two random vectors which separates the severity effect and the frequency effect in the study of the optimal allocation of policy limits and deductibles. In that respect, we obtain the ordering of the optimal allocation of policy limits and deductibles when the dependence structure of the losses is unknown. Our application is a further study of [1 − 6].