An asymptotic formula for the net premium of some reinsurance treaties
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Publication:3332133
DOI10.1080/03461238.1984.10413750zbMath0543.62089OpenAlexW2160728874MaRDI QIDQ3332133
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Publication date: 1984
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1984.10413750
asymptotic formularobust statisticsnet premiumclaim distributionreinsurance treatiesECOMORexact premium calculationexcess-of-loss, largest claims
Related Items (14)
Finite formulae for the premium of the general reinsurance treaty based on ordered claims ⋮ Fourier methods for the claims amounts of largest claims reinsurance covers ⋮ A generalized statistical XL-rating procedure ⋮ Recursive largest claims reinsurance rating, revisited ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Eine verallgemeinerte statistische LCR-Tarifierungsmethode ⋮ Largest claims reinsurance premiums for the Weibull model ⋮ Bounding techniques for the net premiums of generalized largest claims reinsurance treaties ⋮ On the choice of the parameter p of the LCR (p)-treaty ⋮ An elementary upper bound on the loading of a largest claims reinsurance cover ⋮ Largest claims reinsurance premiums under discrete claims sizes ⋮ Computing the mean and the variance of the cedent's share for largest claims reinsurance covers ⋮ A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover ⋮ Estimating the loading of the largest claims covers
Cites Work
- Distribution-free upper bounds on the premiums of the LCR and ECOMOR treaties
- On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
- Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Analytical best upper bounds on stop-loss premiums
- Linear functions of order statistics with smooth weight functions
- Approximation Theorems of Mathematical Statistics
- An Elementary Proof of Asymptotic Normality of Linear Functions of Order Statistics
- Functions of Order Statistics
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