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Pricing Excess of Loss Reinsurance with Reinstatements

Published online by Cambridge University Press:  29 August 2014

Ana J. Mata*
Affiliation:
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom
*
Dept. Actuarial Mathematics and Statistics, Heriot-Watt University, Riccarton Edinburgh EH14 4AS, United Kingdom
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Abstract

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In this paper we discuss the concept of excess of loss reinsurance with reinstatements. The main objective is to provide a methodology to calculate the distribution of total aggregate losses for two or more consecutive layers when there is a limited number of reinstatements. We also compare different premium principles and their properties to price these treaties for any number of free or paid reinstatements.

Type
Workshop
Copyright
Copyright © International Actuarial Association 2000

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