The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio
AbstractThe adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the interest for the cedent to calculate the adjustment coeeficient for its portfolio when buying excess of loss reinsurance with reinstatements. An optimal organization is discussed.
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Bibliographic InfoPaper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 0003.
Length: 14 pages
Date of creation: 2000
Date of revision:
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Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.
ECONOMETRICS ; RISK ; INSURANCE;
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