The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio

J.F. Walhin and J. Paris

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the interest for the cedent to calculate the adjustment coeeficient for its portfolio when buying excess of loss reinsurance with reinstatements. An optimal organization is discussed.

Keywords: ECONOMETRICS; RISK; INSURANCE (search for similar items in EconPapers)
JEL-codes: C00 D81 G10 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:3

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