IDEAS home Printed from https://ideas.repec.org/h/ito/pchaps/140081.html
   My bibliography  Save this book chapter

An Inequality for Reinsurance Contract Annual Loss Standard Deviation and Its Application

In: Accounting from a Cross-Cultural Perspective

Author

Listed:
  • Frank Xuyan Wang

Abstract

For reinsurance contract simulated annual losses, an inequality relating their standard deviation and mean is found, ? f >= m f ? A C ? A , where the coefficient in the inequality is the square root of the ratio of numbers of zero losses years to numbers of non-zero losses years. The largest such coefficient is also proved to be the universal upper bound. As direct application of this inequality, bounds for other risk measures of reinsurance contract, the TVaR (average of the annual losses that are larger than a given loss), the probability of attaching (greater than a given attachment loss), and the probability of exceeding (the annual loss limit) are obtained, which in turn reveal the capability upper limit of the simulation approach.

Suggested Citation

  • Frank Xuyan Wang, 2018. "An Inequality for Reinsurance Contract Annual Loss Standard Deviation and Its Application," Chapters, in: Asma Salman & Muthanna G. Abdul Razzaq (ed.), Accounting from a Cross-Cultural Perspective, IntechOpen.
    • Handle: RePEc:ito:pchaps:140081
    DOI: 10.5772/intechopen.76265
    as

    Download full text from publisher

    File URL: https://www.intechopen.com/chapters/60781
    Download Restriction: no
    File URL: https://libkey.io/10.5772/intechopen.76265?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

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


    Cited by:

    1. Wang, Frank Xuyan, 2021. "Shape factor asymptotic analysis II," MPRA Paper 110827, University Library of Munich, Germany.

    More about this item

    Keywords

    reinsurance contract; simulation; standard deviation; coefficient of variation; inequality; ratio distribution; model risk;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

    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:ito:pchaps:140081. 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: Slobodan Momcilovic (email available below). General contact details of provider: http://www.intechopen.com .

    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.