IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v44y2009i3p497-504.html
   My bibliography  Save this article

Computing the mean and the variance of the cedent's share for largest claims reinsurance covers

Author

Listed:
  • Hess, Christian

Abstract

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claim sizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.

Suggested Citation

  • Hess, Christian, 2009. "Computing the mean and the variance of the cedent's share for largest claims reinsurance covers," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 497-504, June.
    • Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:497-504
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00010-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kremer, Erhard, 1988. "A General Bound for the Net Premium of the Largest Claims Reinsurance Covers," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 69-78, April.
    2. Berglund, Raoul M., 1998. "A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 153-162, May.
    3. Kremer, Erhard, 1982. "Rating of Largest Claims and Ecomor Reinsurance Treaties for Large Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 13(1), pages 47-56, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:dau:papers:123456789/4715 is not listed on IDEAS
    2. Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017. "The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation," Risks, MDPI, vol. 5(1), pages 1-27, January.
    3. Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung, 2022. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 364-389.
    4. Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
    5. Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A., 2019. "On a family of risk measures based on largest claims," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 92-97.

    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:eee:insuma:v:44:y:2009:i:3:p:497-504. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    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.