Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

Antonella Campana () and Paola Ferretti
Additional contact information
Antonella Campana: Dept. SEGeS, University of Molise

No 203, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution. In particular, we focus our study on conditions ensuring feasibility of the initial premium, for example with reference to the limit on the payment of each claim. Comonotonic exchangeability shows the way forward to a more general definition of the initial premium: some properties characterizing the proposed premium are presented.

Keywords: Excess of loss reinsurance; reinstatements; distortion risk measures; initial premium; exchangeability. (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2010-10
New Economics Papers: this item is included in nep-rmg and nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://virgo.unive.it/wpideas/storage/2010wp203.pdf First version, 2010 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to virgo.unive.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:203

Access Statistics for this paper

More papers in Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia Contact information at EDIRC.
Bibliographic data for series maintained by Daria Arkhipova ().