ON EXCESS-OF-LOSS REINSURANCE

被引：0

作者：

Albrecher, Hansjoerg ^{[1
,2
]}

Teugels, Jozef L. ^{[3
,4
]}

机构：

[1] Austrian Acad Sci, Radon Inst, Linz, Austria

[2] Univ Linz, A-4040 Linz, Austria

[3] Tech Univ Eindhoven, EURANDOM, Eindhoven, Netherlands

[4] Katholieke Univ Leuven, Leuven Ctr Stat, B-3001 Heverlee, Belgium

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2008年 / 79卷

基金：

奥地利科学基金会;

关键词：

Reinsurance; point processes; thinning; Laplace-Stieltjes transform;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We discuss a unified framework to 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 and work out several examples explicitly. 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.

引用

页码：5 / 19

页数：15

共 50 条

[1] Proportional and excess-of-loss reinsurance under investment gains
Cao Yusong
Xu Jin
APPLIED MATHEMATICS AND COMPUTATION, 2010, 217 (06) : 2546 - 2550
[2] Reserving consecutive layers of inwards excess-of-loss reinsurance
Taylor, G
INSURANCE MATHEMATICS & ECONOMICS, 1997, 20 (03) : 225 - 242
[3] Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance
Kasumo, Christian
Kasozi, Juma
Kuznetsov, Dmitry
APPLICATIONS AND APPLIED MATHEMATICS-AN INTERNATIONAL JOURNAL, 2020, 15 (01): : 13 - 37
[4] Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
Margraf, Carolin
Elpidorou, Valandis
Verrall, Richard
INSURANCE MATHEMATICS & ECONOMICS, 2018, 80 : 54 - 65
[5] Robust optimal excess-of-loss reinsurance and investment problem with p thinning dependent risks under CEV model
Mao, Lei
Zhang, Yan
QUANTITATIVE FINANCE AND ECONOMICS, 2021, 5 (01): : 134 - 162
[6] Dependent risks and excess of loss reinsurance
Centeno, MD
INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02) : 229 - 238
[7] Ruin theory with excess of loss reinsurance and reinstatements
Albrecher, Hansjoerg
Haas, Sandra
APPLIED MATHEMATICS AND COMPUTATION, 2011, 217 (20) : 8031 - 8043
[8] A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements
Albrecher, Hansjorg
Haas, Sandra
COMPSTAT'2010: 19TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL STATISTICS, 2010, : 135 - 144
[9] Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model
Centeno, MD
INSURANCE MATHEMATICS & ECONOMICS, 2002, 31 (03) : 415 - 427
[10] Experience and exposure rating for property per risk excess of loss reinsurance revisited.
Desmedt, Stijn
Walhin, Jean-Francois
INSURANCE MATHEMATICS & ECONOMICS, 2006, 39 (03) : 432 - 432

← 1 2 3 4 5 →