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

  • Antonella Campana

    ()

    (Dept. SEGeS, University of Molise)

  • Paola Ferretti

    ()

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

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.

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File URL: http://virgo.unive.it/wpideas/storage/2010wp203.pdf
File Function: First version, 2010
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Paper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 203.

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Length: 11 pages
Date of creation: Oct 2010
Date of revision:
Handle: RePEc:vnm:wpaper:203
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