On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities

Abstract

With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to well allocate the upper limits and the deductibles are built, respectively. (C) 2012 Elsevier B.V. All rights reserved.