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Largest Claims Reinsurance Premiums under Possible Claims Dependence

Published online by Cambridge University Press:  29 August 2014

Erhard Kremer
Erhard Kremer*
Affiliation:
Institut für Mathematische Stochastik, Universität Hamburg
*
Institut für Mathematische Stochastik, Universität Hamburg, Bundesstraße 55, 20146 Hamburg, F.R.G.
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Abstract

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Largest claims reinsurance covers are reconsidered. Allowing the original claims sizes to be not necessarily independent, a new, upper premium bound is derived and explored.

Type
Workshops
Information
ASTIN Bulletin: The Journal of the IAA , Volume 28 , Issue 2 , November 1998 , pp. 257 - 267
Copyright
Copyright © International Actuarial Association 1998

References

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