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Pricing Excess of Loss Reinsurance with Reinstatements

Published online by Cambridge University Press:  29 August 2014

Ana J. Mata
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.

Keywords

Excess of loss reinsurancereinstatementsmultivariate recursionspremium principlesPH Transform
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 2 , November 2000 , pp. 349 - 368
Copyright
Copyright © International Actuarial Association 2000

References

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