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Produits financiers et determination de la prime glissante de traites non proportionnels

Published online by Cambridge University Press:  29 August 2014

Charles Levi
Charles Levi*
Affiliation:
Compagnie Transcontinentale de Reassurance, Paris, France
*
Compagnie Transcontinentale de Reassurance, 15 rue Louis le Grand, 75002 Paris, France.
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Abstract

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Financial income play a big part for the calculation of the minimum premium and maximum premium of a sliding scale for non-proportional treaties. The aggregate loss for the XL is supposed to be a compound Poisson process. It is computed by Panjer's Algorithm. Some numerical results are shown for different values of the claims number and the interest rate.

Keywords

Rating of XL treatiessliding scalefinancial income
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 18 , Issue 2 , November 1988 , pp. 189 - 197
Copyright
Copyright © International Actuarial Association 1988

References

Bibliographie

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Panjer, Harry H. (1981), recursive evaluation of a family of compound distributions. ASTIN Bulletin 12 (1981) pp. 22–26.CrossRefGoogle Scholar
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