Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model

被引：23

作者：

Centeno, MD

机构：

[1] Univ Tecn Lisboa, ISEG, CEMAPRE, P-1200781 Lisbon, Portugal

[2] Univ Melbourne, Ctr Actuarial Studies, Melbourne, Vic, Australia

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2002年 / 30卷 / 01期

关键词：

Sparre Anderson model; adjustment coefficient; reinsurance; excess of loss; quota-share; combinations of excess of loss and quota-share reinsurance;

D O I：

10.1016/S0167-6687(01)00095-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the insurer's adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model [In: Transactions of the XV International Congress of Actuaries]. We show that the insurer's adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：37 / 49

页数：13

共 8 条

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[2]

Carter RL, 1979, REINSURANCE

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CENTENO, L .

INSURANCE MATHEMATICS & ECONOMICS, 1986, 5 (02) :169-182

[4]

Centeno M.L., 1985, ASTIN BULL, V15, P49

[5]

Grandell J., 1991, ASPECTS RISK THEORY

[6]

HESSELAGER O, 1990, SCANDINAVIAN ACTUARI, V1, P80

[7]

WATERS H, 1979, SCANDINAVIAN ACTUARI, V1, P37

[8] SOME MATHEMATICAL ASPECTS OF REINSURANCE [J].

WATERS, HR .

INSURANCE MATHEMATICS & ECONOMICS, 1983, 2 (01) :17-26

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