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Premium Calculation for Deductible Policies with an Aggregate Limit

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  • Mack, Thomas

Abstract

In Industrial Fire insurance an aggregate limit for the amount retained by the policyholder under a deductible policy has been agreed upon more frequently in recent times. This agreement is equivalent to a stop-loss cover on the retained loss amount. For the Poisson-lognormal model the corresponding stop-loss net premium is calculated using various methods (normal power, translated gamma, various discretisations) and the methods are compared. Finally, the influence of the model parameters is examined and it is demonstrated how a variety of parameter value combinations can be reduced to only a few rating curves.

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  • Mack, Thomas, 1984. "Premium Calculation for Deductible Policies with an Aggregate Limit," ASTIN Bulletin, Cambridge University Press, vol. 14(2), pages 105-121, October.
    • Handle: RePEc:cup:astinb:v:14:y:1984:i:02:p:105-121_00
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    Cited by:

    1. Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.

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