XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis
AbstractThis paper studies excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution, in the framework of risk adjusted premium principle. By regarding to comonotonic exchangeability, a generalized definition of initial premium is proposed and some regularity properties characterizing it are presented, both with reference to conditions on underlying distortion functions both with respect to composing functions. The attention is then focused on conditions ensuring feasibility of generalized initial premiums with reference to the limit on the payment of each claim.
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Bibliographic InfoPaper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2011_14.
Date of creation: 2011
Date of revision:
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More information through EDIRC
Excess of loss reinsurance; reinstatements; initial premium; exchangeability; distortion risk measures; feasibility.;
Find related papers by JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-01 (All new papers)
- NEP-RMG-2011-11-01 (Risk Management)
- NEP-UPT-2011-11-01 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Tinbergen Institute Discussion Papers
04-030/4, Tinbergen Institute.
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- Antonella Campana & Paola Ferretti, 2010. "Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements," Working Papers 203, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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