Largest Claims Reinsurance Premiums under Possible Claims Dependence
نویسندگان
چکیده
منابع مشابه
Reinsurance under the LCR and ECOMOR Treaties with Emphasis on Light-tailed Claims
Suppose that, over a fixed time interval of interest, an insurance portfolio generates a random number of independent and identically distributed claims. Under the LCR treaty the reinsurance covers the first l largest claims, while under the ECOMOR treaty it covers the first l − 1 largest claims in excess of the lth largest one. Assuming that the claim sizes follow an exponential distribution o...
متن کاملAdaptive Premiums for Evolutionary Claims in Non-life Insurance
Rapid growth in heavy-tailed claim severity in commercial liability insurance requires insurer response by way of flexible mechanisms to update premiums. To this end in this paper a new premium principle is established for heavy-tailed claims, and its properties investigated. Risk-neutral premiums for heavy-tailed claims are consistently and unbiasedly estimated by the ratio of the first two ex...
متن کاملJoint Asymptotic Distributions of Smallest and Largest Insurance Claims
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace transforms of the normalised sums of the smallest and largest claims, when the length of the considered ti...
متن کاملSuperreplication under Volatility Uncertainty for Measurable Claims
We establish the duality formula for the superreplication price in a setting of volatility uncertainty which includes the example of random G-expectation. In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.
متن کاملAn Aggregate Claims Model Between Independence and Comonotone Dependence
We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the one-parameter bivariate Fréchet copula, which finds a justification as follows. The chosen model uses only one additional dependence parameter, which is chosen such that it yields...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1998
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.28.2.519069