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Optimal allocations of coverage limits for two independent random losses of insurance policy

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  • Yinping You
  • Xiaohu Li
  • Jairo Santanilla

Abstract

This article recasts the optimal allocations of coverage limits for two independent random losses. Under some regularity conditions on the two concerned probability density functions, we build the sufficient and necessary condition for the existence of the optimal allocation of coverage limits, and derive the optimal allocation whenever they do exist. The results supplement Lu and Meng (2011, Proposition 5.2) and Hu and Wang (2014, Theorem 5.1).

Suggested Citation

  • Yinping You & Xiaohu Li & Jairo Santanilla, 2017. "Optimal allocations of coverage limits for two independent random losses of insurance policy," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(1), pages 497-509, January.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:1:p:497-509
    DOI: 10.1080/03610926.2014.997360
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    Cited by:

    1. Yinping You & Xiaohu Li & Rui Fang, 2021. "On coverage limits and deductibles for SAI loss severities," Annals of Operations Research, Springer, vol. 297(1), pages 341-357, February.

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