Hostname: page-component-cd9895bd7-p9bg8 Total loading time: 0 Render date: 2024-12-28T19:35:53.822Z Has data issue: false hasContentIssue false
  • English
  • Français

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.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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

Ammeter, H. (1964): The rating of ‘largest claim’ reinsurance covers. Quarterly letter from the algemeene reinsurance companies, Jubilee number 2, 79–109.Google Scholar
Benktander, G. (1978): Largest claims reinsurance (LCR). A quick method to calculate LCR- risk rates from excess-of-loss risk rates. ASTIN Bulletin, 54–58.Google Scholar
Bühlmann, H. (1970): Mathematical methods in risk theory. Springer Verlag, Berlin & Heidelberg, chapter 5.Google Scholar
Heilmann, W.R. (1986): On the impact of the independence of risks on stop loss premiums. Insurance: Mathematics and Economics, 197–199.Google Scholar
De Vylder, F. and Goovaerts, M. (1983): Best bounds on the stoploss in case of known range, expectations, variance and mode of the risk. Insurance: Mathematics and Economics, 241–249.Google Scholar
Kremer, E. (1984): An asymptotic formula for the net premium of some reinsurance treaties. Scandinavian Actuarial Journal, 11–22.CrossRefGoogle Scholar
Kremer, E. (1985): Finite formulae for the premium of the general reinsurance treaty based on ordered claims. Insurance: Mathematics and Economics, 233–238.Google Scholar
Kremer, E. (1986): Recursive calculation of the net premium for largest claims reinsurance covers. ASTIN Bulletin, 101–108.Google Scholar
Kremer, E. (1988): A general bound for the net premium of the largest claims reinsurance covers. ASTIN Bulletin, 69–78.Google Scholar
Kremer, E. (1990 a): On a generalized total claims amount. Blatter der deutschen Gesellschaft für Versicherungsmathematik, 183–189.Google Scholar
Kremer, E. (1990 b): The asymptotic efficiency of largest claims reinsurance treaties. ASTIN Bulletin, 12–22.Google Scholar
Kremer, E. (1990 c): An elementary upper bound on the loading of the stop loss cover. Scandinavian Actuarial Journal, 105–108.CrossRefGoogle Scholar
Kremer, E. (1992): The total claims amount of largest claims reinsurance treaties revisited. Blätter der deutschen Gesellschaft für Versicherungsmathematik, 431–440.Google Scholar
Kremer, E. (1994 a): Recursive largest claims reinsurance rating, revisited. Blätter der deutschen Gesellschaft für Versicherungsmathematik, 457–469.Google Scholar
Kremer, E. (1994 b): The asymptotic efficiency of the ECOMOR cover. Proceedings of the DGOR/NSOR meeting at Amsterdam in August 1993.Google Scholar
Kremer, E. (1998): Largest claims reinsurance premiums for the Weibull model. Blätter der deutschen Gesellschaft für Versicherungsmathematik, 279–284.Google Scholar
Rychlik, T. (1994): Distributions and expectations of order statistics for possibly dependent random variables. Journal of multivariate analysis, 31–42.CrossRefGoogle Scholar
Thesen, G. (1937): Le calcul de la prime en réassurance d'excédent de sinistres. Scandinavian Actuarial Journal, 272–279.CrossRefGoogle Scholar