Produits financiers et determination de la prime glissante de traites non proportionnels

Charles Levi

ASTIN Bulletin, 1988, vol. 18, issue 2, 189-197

Abstract: Financial income play a big part for the calculation of the minimum premium and maximum premium of a sliding scale for non-proportional treaties. The aggregate loss for the XL is supposed to be a compound Poisson process. It is computed by Panjer's Algorithm. Some numerical results are shown for different values of the claims number and the interest rate.

Date: 1988
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