Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
AbstractWith 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.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 203.
Length: 11 pages
Date of creation: Oct 2010
Date of revision:
Excess of loss reinsurance; reinstatements; distortion risk measures; initial premium; exchangeability.;
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-2010-10-23 (All new papers)
- NEP-RMG-2010-10-23 (Risk Management)
- NEP-UPT-2010-10-23 (Utility Models & Prospect Theory)
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- 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".
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