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A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover

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  • Berglund, Raoul M.

Abstract

In the present paper the author gives net premium formulae for a generalized largest claims reinsurance cover. If the claim sizes are mutually independent and identically 3-parametric Pareto distributed and the number of claims has a Poisson, binomial or negative binomial distribution, formulae are given from which numerical values can easily be obtained. The results are based on identities for compounded order statistics.

Suggested Citation

  • 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.
    • Handle: RePEc:cup:astinb:v:28:y:1998:i:01:p:153-162_01
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    Cited by:

    1. Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
    2. repec:dau:papers:123456789/4715 is not listed on IDEAS
    3. 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.
    4. Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017. "The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation," Risks, MDPI, vol. 5(1), pages 1-27, January.
    5. Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung, 2022. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 364-389.

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