Actuarial comparisons for aggregate claims with randomly right-truncated claims

Laureano F. Escudero and Eva-María Ortega

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 255-262

Abstract: In this note, we consider an extension of the largest claims reinsurance treaty (LCR) with random upper thresholds for the claim sizes, that we call retention levels. The Laplace transform order for insurer's aggregate claims is obtained assuming dependence among the random retention levels. Different results about the influence of dependence on the insurer total claim amount are also given including the connections with LCR and the case of combination with quota-share. Algebraic bounds for the insurer aggregate claims are obtained when a common fixed threshold is considered.

Keywords: Largest; claims; reinsurance; Aggregate; claim; amount; Individual; risk; model; Dependence; Stochastic; bounds; Laplace; transform; order (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:2:p:255-262

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