Hostname: page-component-cd9895bd7-gvvz8 Total loading time: 0 Render date: 2024-12-25T01:24:29.977Z Has data issue: false hasContentIssue false
  • English
  • Français

Recursive Calculation of the Net Premium for Largest Claims Reinsurance Covers

Published online by Cambridge University Press:  29 August 2014

E. Kremer
E. Kremer*
Affiliation:
Universität Hamburg
*
Institut für Mathematische Statistik, Universität Hamburg, D-2 Hamburg 13.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In the present paper the author investigates the problem of calculating the net premium for some versions of the largest claims reinsurance cover. A very handy recursive rating method is derived by applying some recursion formulas for the expectations of order statistics.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 16 , Issue 2 , November 1986 , pp. 101 - 108
Copyright
Copyright © International Actuarial Association 1986

References

Ammeter, H. (1955) The Calculation of Premium Rates for Excess of Loss and Stop Loss Reinsurance Treaties. Nonproportional Reinsurance. Bruxelles, pp. 79–109.Google Scholar
Ammeter, H. (1964) The Rating of “Largest Claim” Reinsurance Covers. Quarterly letter from the Allgemeene Reinsurance Companies, Jubilee number 2, pp. 5–17.Google Scholar
Benktander, G. (1978) Largest Claims Reinsurance (LCR): A Quick Method to Calculate LCR-Risk Rates from Excess of Loss Risk Rates. ASTIN Bulletin, 54–58.Google Scholar
David, H. A. (1980) Order statistics. John Wiley, New York.Google Scholar
Helbig, M. (1953) Mathematische Grundlagen der Schadenexzedenten-rückversicherung. Festschrift für Emil Bebler, 189–197.Google Scholar
Johnson, N. I. and Kotz, S. (1969) Discrete distributions. John Wiley, New York.Google Scholar
Kremer, E. (1982) Rating of Largest Claims and ECOMOR Reinsurance Treatise for Large Portfolios. ASTIN Bulletin, 47–56.Google Scholar
Kremer, E. (1983) Distribution-Free Upper Bounds on the Premiums of the LCR and ECOMOR Treaties. Insurance: Mathematics and Economics, 209–213.Google Scholar
Kremer, E. (1984 a) Rating of Nonproportional Reinsurance Treatise Based on Ordered Claims. Premium Calculation in Insurance. Proceedings of the NATO Advanced Study Institute, Leuven, pp. 285–314.CrossRefGoogle Scholar
Kremer, E. (1984 b) An Asymptotic Formula for the Net-Premium of some Reinsurance Treaties. Scandinavian Actuarial Journal, 11–22.CrossRefGoogle Scholar
Kremer, E. (1985 a) Finite Formulae for the Premium of the General Reinsurance Treaty Based on Ordered Claims. Insurance: Mathematics & Economics, 233–238.Google Scholar
Kremer, E. (1985 b) Reinsurance Premiums Under Special Claims Number Distribution. Submitted for publication.Google Scholar
Kremer, E. (1986) Simple Formulas for the Net Premiums of the LCR and ECOMOR Treaties Under Exponential Claims Sizes. Blätter der Deutschen Gesellschaft für Versicherungs mathematik.Google Scholar
Sundt, B. and Jewell, W. S. (1981) Further Results on Recursive Evaluation of Compound Distributions. ASTIN Bulletin, 27–30.Google Scholar
Panjer, H. H. (1981) Recursive Evaluation of a Family of Compound Distributions. ASTIN Bulletin, 22–26.Google Scholar
Thépaut, A. (1950) Le Traité d'Excédent du Coût relativ., Bulletin Trimestriel de L'Institut des Actuaries Francais, No. 2.Google Scholar