Pricing Excess of Loss Reinsurance with Reinstatements

DOI10.2143/AST.30.2.504640zbMath1060.91084MaRDI QIDQ4461295

Ana J. Mata

Publication date: 30 March 2004

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

premium principlesmultivariate recursionsPH transform

Mathematics Subject Classification ID

Related Items (11)

Indifference pricing of reinsurance with reinstatements using coherent monetary criteria ⋮ Distribution-free goodness-of-fit tests for the Pareto distribution based on a characterization ⋮ MODELLING INSURANCE DATA WITH THE PARETO ARCTAN DISTRIBUTION ⋮ A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements * ⋮ On the usefulness of the logarithmic skew normal distribution for describing claims size data ⋮ Asymptotic Dependence of Reinsurance Aggregate Claim Amounts ⋮ An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing ⋮ Ruin theory with excess of loss reinsurance and reinstatements ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ Optimal Premium Plans for Reinsurance with Reinstatements ⋮ Excess of Loss Reinsurance with Reinstatements Revisited

Cites Work

• Comparing Risk Adjusted Premiums from the Reinsurance Point of View

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