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Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

Author

Listed:
  • Antonella Campana

    (Dept. SEGeS, University of Molise)

  • Paola Ferretti

    (Dept. of Applied Mathematics and Advanced School of Economics, University Ca' Foscari of Venice)

Abstract

With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution. In particular, we focus our study on conditions ensuring feasibility of the initial premium, for example with reference to the limit on the payment of each claim. Comonotonic exchangeability shows the way forward to a more general definition of the initial premium: some properties characterizing the proposed premium are presented.

Suggested Citation

  • 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.
    • Handle: RePEc:vnm:wpaper:203
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    Cited by:

    1. Paola Ferretti & Antonella Campana, 2011. "XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis," Working Papers 2011_14, Department of Economics, University of Venice "Ca' Foscari".

    More about this item

    Keywords

    Excess of loss reinsurance; reinstatements; distortion risk measures; initial premium; exchangeability.;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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