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Approximations for stop-loss reinsurance premiums

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  • Reijnen, Rajko
  • Albers, Willem
  • Kallenberg, Wilbert C.M.

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  • Reijnen, Rajko & Albers, Willem & Kallenberg, Wilbert C.M., 2005. "Approximations for stop-loss reinsurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 237-250, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:237-250
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    References listed on IDEAS

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    1. Gendron, Michel & Crepeau, Helene, 1989. "On the computation of the aggregate claim distribution when individual claims are Inverse Gaussian," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 251-258, November.
    2. Chaubey, Yogendra P. & Garrido, Jose & Trudeau, Sonia, 1998. "On the computation of aggregate claims distributions: some new approximations," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 215-230, December.
    3. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
    4. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    5. Kaas, R., 1993. "How to (and how not to) compute stop-loss premiums in practice," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 241-254, December.
    6. Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
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    Cited by:

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    2. Arkadiusz Filip & Marcin Wienke, 2013. "Odporność składki kwantylowej ze względu na zaburzenia rozkładu wielkości pojedynczej szkody w modelu ryzyka łącznego," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 137-155.
    3. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
    4. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
    5. Riza Andrian Ibrahim & Sukono & Herlina Napitupulu & Rose Irnawaty Ibrahim, 2023. "How to Price Catastrophe Bonds for Sustainable Earthquake Funding? A Systematic Review of the Pricing Framework," Sustainability, MDPI, vol. 15(9), pages 1-19, May.
    6. Sukono & Herlina Napitupulu & Riaman & Riza Andrian Ibrahim & Muhamad Deni Johansyah & Rizki Apriva Hidayana, 2023. "A Regional Catastrophe Bond Pricing Model and Its Application in Indonesia’s Provinces," Mathematics, MDPI, vol. 11(18), pages 1-20, September.

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