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APS Reinsurance

Published online by Cambridge University Press:  29 August 2014

Bruno Koller  and
Nicole Dettwyler
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Abstract

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This paper presents a new reinsurance product, called ‘Adaptive Pivot Smoothing’ (APS). It is designed to reduce the variance of the risk reinsured without affecting the mean. Investment theories have provided the idea for the product.

Keywords

ReinsuranceFinancial ReinsuranceSmoothing
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 2 , November 1997 , pp. 329 - 337
Copyright
Copyright © International Actuarial Association 1997

References

REFERENCES

Abraham, B. and Ledolter, J. (1983) Statistical Methods for Forecasting. John Wiley & Sons, New York.CrossRefGoogle Scholar
Gerber, H.U. (1979) An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monograph 8, University of Pennsylvania, Philadelphia.Google Scholar