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