Actuarial comparisons for aggregate claims with randomly right-truncated claims
AbstractIn this note, we consider an extension of the largest claims reinsurance treaty (LCR) with random upper thresholds for the claim sizes, that we call retention levels. The Laplace transform order for insurer's aggregate claims is obtained assuming dependence among the random retention levels. Different results about the influence of dependence on the insurer total claim amount are also given including the connections with LCR and the case of combination with quota-share. Algebraic bounds for the insurer aggregate claims are obtained when a common fixed threshold is considered.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 43 (2008)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
Largest claims reinsurance Aggregate claim amount Individual risk model Dependence Stochastic bounds Laplace transform order;
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