In this paper we develop the methodology to price excess of loss reinsurance with reinstatements under different risk adjusted premium principles. We discuss premium calculation when the aggregate claims are generated by a discrete distribution. This happens for example when there are only total losses, i.e. losses hitting the layer completely. The reinsurance companies normally asses treaties on this basis that is a realistic hypothesis especially in catastrophe reinsurance area.

Reinstatement premiums for an excess of Loss reinsurance contract

CAMPANA, Antonella
2006

Abstract

In this paper we develop the methodology to price excess of loss reinsurance with reinstatements under different risk adjusted premium principles. We discuss premium calculation when the aggregate claims are generated by a discrete distribution. This happens for example when there are only total losses, i.e. losses hitting the layer completely. The reinsurance companies normally asses treaties on this basis that is a realistic hypothesis especially in catastrophe reinsurance area.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11695/3226
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