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Computing the mean and the variance of the cedent's share for largest claims reinsurance covers

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  • Hess, Christian

Abstract

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claim sizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.

Suggested Citation

  • Hess, Christian, 2009. "Computing the mean and the variance of the cedent's share for largest claims reinsurance covers," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 497-504, June.
    • Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:497-504
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    References listed on IDEAS

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    1. Kremer, Erhard, 1982. "Rating of Largest Claims and Ecomor Reinsurance Treaties for Large Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 13(1), pages 47-56, June.
    2. Kremer, Erhard, 1988. "A General Bound for the Net Premium of the Largest Claims Reinsurance Covers," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 69-78, April.
    3. Berglund, Raoul M., 1998. "A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 153-162, May.
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