Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

Antonella Campana () and Paola Ferretti
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Antonella Campana: University of Molise, Department SEGeS

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2012, pp 53-60 from Springer

Abstract: Abstract With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution. In particular, we focus our study on conditions ensuring feasibility of the initial premium, for example with reference to the limit on the payment of each claim. Comonotonic exchangeability shows the way forward to a more general definition of the initial premium: some properties characterizing the proposed premium are presented.

Keywords: Excess of loss reinsurance; reinstatements; distortion risk measures; initial premium; exchangeability (search for similar items in EconPapers)
Date: 2012
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Working Paper: Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-2342-0_7

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DOI: 10.1007/978-88-470-2342-0_7

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