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Stochastic projection for large individual losses

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  • Damien Drieskens
  • Marc Henry
  • Jean-François Walhin
  • Jürgen Wielandts

Abstract

In this paper we investigate how to estimate ultimate values of large losses. The method is based on the development of individual losses and therefore allows to compute the netting impact of excess of loss reinsurance. In particular the index clause is properly accounted for. A numerical example based on real-life data is provided.

Suggested Citation

  • Damien Drieskens & Marc Henry & Jean-François Walhin & Jürgen Wielandts, 2012. "Stochastic projection for large individual losses," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2012(1), pages 1-39.
    • Handle: RePEc:taf:sactxx:v:2012:y:2012:i:1:p:1-39
    DOI: 10.1080/03461231003759708
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