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Pricing Excess of Loss Reinsurance with Reinstatements

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  • Mata, Ana J.

Abstract

In this paper we discuss the concept of excess of loss reinsurance with reinstatements. The main objective is to provide a methodology to calculate the distribution of total aggregate losses for two or more consecutive layers when there is a limited number of reinstatements. We also compare different premium principles and their properties to price these treaties for any number of free or paid reinstatements.

Suggested Citation

  • Mata, Ana J., 2000. "Pricing Excess of Loss Reinsurance with Reinstatements," ASTIN Bulletin, Cambridge University Press, vol. 30(2), pages 349-368, November.
    • Handle: RePEc:cup:astinb:v:30:y:2000:i:02:p:349-368_01
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    Cited by:

    1. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
    2. 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".
    3. Nabil Kazi-Tani, 2020. "Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria," Working Papers hal-01742638, HAL.
    4. Shree Khare & Keven Roy, 2021. "Quantifying the Role of Occurrence Losses in Catastrophe Excess of Loss Reinsurance Pricing," Risks, MDPI, vol. 9(3), pages 1-40, March.
    5. Antonella Campana & Paola Ferretti, 2008. "What do distortion risk measures tell us on excess of loss reinsurance with reinstatements ?," Working Papers 175, Department of Applied Mathematics, Università Ca' Foscari Venezia.

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