报告题目：On Optimal Allocation of Policy Deductibles for Stochastically Arrangement Increasing Risks

报告人：Xiaohu Li (Stevens Institute of Technology, USA)

时间：6月7日下午15：00

地点：数学实验室(工北412)

摘要：The insurer usually solicits the insured through granting a certain amount of deductible to multiple risks covered by a policy according to the policyholder's will. Due to the nonlinear nature of minimizing policyholder’s total retained loss, the research in the related literature on the optimal allocation of deductibles usually assume independence or comonotonicity among concerned risks and ignore the impact due to frequency. This decade witnesses the remarkable advance in introducing either stochastic or statistical dependence into risks or frequencies of occurrence. 

        In this study we build two sufficient conditions for the decreasing optimal allocation of deductibles, relaxing the stochastic arrangement increasing or right tail weakly stochastic arrangement increasing discount factors in Cai and Wei (2014, Theorems 6.3 and 6.6) to the conditionally upper orthant arrangement increasing or weak conditionally upper orthant arrangement increasing frequencies.

注：本次讲座将纳入数学系继续教育课程。

理学院

2016年6月3日