Stochastic projection for large individual losses

Damien Drieskens, Marc Henry, Jean-François Walhin and Jürgen Wielandts

Scandinavian Actuarial Journal, 2012, vol. 2012, issue 1, 1-39

Abstract: In this paper we investigate how to estimate ultimate values of large losses. The method is based on the development of individual losses and therefore allows to compute the netting impact of excess of loss reinsurance. In particular the index clause is properly accounted for. A numerical example based on real-life data is provided.

Date: 2012
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DOI: 10.1080/03461231003759708

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