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On Allocation of Excess of Loss Premiums

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt
Bjørn Sundt*
Affiliation:
The Wyatt Company &University of Oslo
*
Gronnegaten 5, N-0350 Oslo 3, Norway.
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Abstract

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In the present paper we study the question of how to allocate the reinsurance premium between the sub-portfolios when an excess of loss treaty is to be shared between several sub-portfolios. Several allocation schemes based on the expected value principle and the standard deviation principle are suggested. The calculations are relatively simple with unlimited free reinstatements. However, with limited and/or paid reinstatements the situation becomes rather tricky, and we therefore suggest a simulation scheme.

Keywords

Excess of loss reinsurancereinstatementsallocationstochastic simulations
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 2 , November 1992 , pp. 167 - 176
Copyright
Copyright © International Actuarial Association 1992

References

Sundt, B. (1991a) An introduction to non-life insurance mathematics. (2. ed.) Verlag Versicherungswirtschaft, Karlsruhe.Google Scholar
Sundt, B. (1991b) On excess of loss reinsurance with reinstatements. Bulletin of the Swiss Association of Actuaries, 51–66.Google Scholar
Sundt, B. (1991c) On approximating aggregate claims distributions and stop-loss premiums by truncation. Insurance: Mathematics and Economics 10, 133–136.Google Scholar