A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts

Roy Cerqueti (), Rachele Foschi and Fabio Spizzichino

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 59-64

Abstract: In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed Poisson Process. By using an invariance property of the Spatial Mixed Poisson Processes, we estimate the amount that the ceding company obtains in a fixed time interval in force of the reinsurance contract.

Keywords: IM11; IM52; Reinsurance; models; with; delays; Invariance; properties; of; spatial; point; processes; Order; statistic; property; Intensity; of; a; Spatial; Mixed; Poisson; Process (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:59-64

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