Pricing Excess of Loss Reinsurance with Reinstatements

Ana J. Mata

ASTIN Bulletin, 2000, vol. 30, issue 2, 349-368

Abstract: In this paper we discuss the concept of excess of loss reinsurance with reinstatements. The main objective is to provide a methodology to calculate the distribution of total aggregate losses for two or more consecutive layers when there is a limited number of reinstatements. We also compare different premium principles and their properties to price these treaties for any number of free or paid reinstatements.

Date: 2000
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