Universally marketable insurance under multivariate mixtures

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<dc:creator>Lo, Ambrose</dc:creator>
<dc:creator>Tang, Qihe</dc:creator>
<dc:creator>Tang, Zhaofeng </dc:creator>
<dc:date>2021-01-01</dc:date>
<dc:description xml:lang="es">Sumario: The study of desirable structural properties that define a marketable insurance contract has been a recurring theme in insurance economic theory and practice. In this article, we develop probabilistic and structural characterizations for insurance indemnities that are universally marketable in the sense that they appeal to all policyholders whose risk preferences respect the convex order. We begin with the univariate case where a given policyholder faces a single risk, then extend our results to the case where multiple risks possessing a certain dependence structure coexist. The non decreasing and 1-Lipschitz condition, in various forms, is shown to be intimately related to the notion of universal marketability. As the highlight of this article, we propose a multivariate mixture model which not only accommodates a host of dependence structures commonly encountered in practice but is also flexible enough to house a rich class of marketable indemnity schedules.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/174689.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Contrato de seguro</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Indemnizaciones</dc:subject>
<dc:subject xml:lang="es">Análisis multivariante</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Universally marketable insurance under multivariate mixtures</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 221-243</dc:relation>
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