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XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis

Listed author(s):
  • Paola Ferretti


    (Department of Economics, University Of Venice C� Foscari)

  • Antonella Campana

    (Department of Economics, University Of Molise)

This 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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Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2011_14.

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Length: 15
Date of creation: 2011
Handle: RePEc:ven:wpaper:2011_14
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  1. Hürlimann, Werner, 2005. "Excess of Loss Reinsurance with Reinstatements Revisited," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 35(01), pages 211-238, May.
  2. Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2004. "Some new classes of consistent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 505-516, June.
  3. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004. "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers 04-030/4, Tinbergen Institute.
  4. Wu, Xianyi & Zhou, Xian, 2006. "A new characterization of distortion premiums via countable additivity for comonotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 324-334, April.
  5. 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.
  6. Mata, Ana J., 2000. "Pricing Excess of Loss Reinsurance with Reinstatements," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(02), pages 349-368, November.
  7. 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.
  8. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  9. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(01), pages 71-92, May.
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