On excess-of-loss reinsurance
| Autor: | Jozef L. Teugels, Hansjörg Albrecher |
|---|---|
| Přispěvatelé: | Eurandom |
| Rok vydání: | 2009 |
| Předmět: |
Statistics and Probability
Reinsurance 050208 finance Laplace–Stieltjes transform 05 social sciences Aggregate (data warehouse) 01 natural sciences Upper and lower bounds Point process 010104 statistics & probability 0502 economics and business 0101 mathematics Statistics Probability and Uncertainty Mathematical economics Mathematics |
| Zdroj: | Theory of Probability and Mathematical Statistics, 79, 7-22. American Mathematical Society |
| ISSN: | 1547-7363 0094-9000 |
| DOI: | 10.1090/s0094-9000-09-00787-x |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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