IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v13y1982i01p23-36_00.html
   My bibliography  Save this article

Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable

Author

Listed:
  • De Vylder, F.
  • Goovaerts, M.
  • De Pril, N.

Abstract

In case of a stop-loss treaty the reinsurer takes over that part of the risk that exceeds a given amount y1. We will deduce bounds on a modified stop-loss treaty where the liability of the reinsurer is limited to y2–y1 in case the claim amount exceeds y2. Upper and lower bounds of this modified stop-loss premium are obtained as a simple application of results obtained earlier by the first author.

Suggested Citation

  • De Vylder, F. & Goovaerts, M. & De Pril, N., 1982. "Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable," ASTIN Bulletin, Cambridge University Press, vol. 13(1), pages 23-36, June.
    • Handle: RePEc:cup:astinb:v:13:y:1982:i:01:p:23-36_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100006917/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Grzegorz Darkiewicz & Griselda Deelstra & Jan Dhaene & Tom Hoedemakers & Michèle Vanmaele, 2009. "Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 847-866, December.
    2. Denuit, Michel & Vylder, Etienne De & Lefevre, Claude, 1999. "Extremal generators and extremal distributions for the continuous s-convex stochastic orderings," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 201-217, May.
    3. Korn, Ralf, 2005. "Worst-case scenario investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 1-11, February.
    4. Genest, Christian & Marceau, Étienne & Mesfioui, Mhamed, 2002. "Upper stop-loss bounds for sums of possibly dependent risks with given means and variances," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 33-41, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:13:y:1982:i:01:p:23-36_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.