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Analysis of risk measures for reinsurance layers

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  • Ladoucette, Sophie A.
  • Teugels, Jef L.

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  • Ladoucette, Sophie A. & Teugels, Jef L., 2006. "Analysis of risk measures for reinsurance layers," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 630-639, June.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:630-639
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    References listed on IDEAS

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    1. Benktander, Gunnar & Ohlin, Jan, 1967. "A Combination of Surplus and Excess Reinsurance of a Fire Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 4(2), pages 177-190, February.
    2. Centeno, Lourdes, 1985. "On Combining Quota-Share and Excess of Loss," ASTIN Bulletin, Cambridge University Press, vol. 15(1), pages 49-63, April.
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    Cited by:

    1. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
    2. Asimit, Alexandru V. & Jones, Bruce L., 2008. "Dependence and the asymptotic behavior of large claims reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 407-411, December.
    3. Kousky, Carolyn & Cooke, Roger M., 2009. "The Unholy Trinity: Fat Tails, Tail Dependence, and Micro-Correlations," RFF Working Paper Series dp-09-36-rev.pdf, Resources for the Future.

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