Optimum excess-loss reinsurance: a dynamic framework
نویسندگان
چکیده
منابع مشابه
On Excess-of-loss Reinsurance
We analyze the distribution of the number of claims and the aggregate claim sizes in an excess-of-loss reinsurance contract based upon the use of point processes. We first deal with a single excess-of-loss situation with an extra upper bound on the coverage of individual claims. Subsequently the results are extended to a reinsurance chain with k partners.
متن کاملExcess of Loss Reinsurance with Reinstatements Revisited
The classical evaluation of pure premiums for excess of loss reinsurance with reinstatements requires the knowldege of the claim size distribution of the insurance risk. In the situation of incomplete information, where only a few characteristics of the aggregate claims to an excess of loss layer can be estimated, the method of stop-loss ordered bounds yields a simple analytical distribution-fr...
متن کاملPareto Type Distributions and Excess-of-loss Reinsurance
To be consistent with Extreme Value Theory the pricing of excess-of-loss reinsurance contracts should be based on Pareto type distributions. In this context, two recent Pareto type distributions are considered and compared. The state of a geometric Brownian motion after an exponentially distributed random time with log-normally distributed initial state generates a four-parameter Pareto type di...
متن کاملRuin theory with excess of loss reinsurance and reinstatements
The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical CramerLundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-...
متن کاملStop Loss Reinsurance
Stop loss is a nonproportional type of reinsurance and works similarly to excess-of-loss reinsurance. While excess-of-loss is related to single loss amounts, either per risk or per event, stop-loss covers are related to the total amount of claims X in a year – net of underlying excess-of-loss contracts and/or proportional reinsurance. The reinsurer pays the part of X that exceeds a certain amou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1981
ISSN: 0304-4149
DOI: 10.1016/0304-4149(81)90013-2