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XL reinsurance with reinstatements and initial premium feasibility in exchangeability hypothesis

Paola Ferretti and Antonella Campana
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Antonella Campana: Department of Economics, University Of Molise

No 2011_14, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper studies excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution, in the framework of risk adjusted premium principle. By regarding to comonotonic exchangeability, a generalized definition of initial premium is proposed and some regularity properties characterizing it are presented, both with reference to conditions on underlying distortion functions both with respect to composing functions. The attention is then focused on conditions ensuring feasibility of generalized initial premiums with reference to the limit on the payment of each claim.

Keywords: Excess of loss reinsurance; reinstatements; initial premium; exchangeability; distortion risk measures; feasibility. (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Pages: 15
Date: 2011
New Economics Papers: this item is included in nep-rmg and nep-upt
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