منابع مشابه
Large Deviations for Risk Processes with Reinsurance
We consider risk processes with reinsurance. A general family of reinsurance contracts is allowed, including proportional and excess-of-loss policies. Claim occurrence is regulated by a classical compound Poisson process or by aMarkov-modulated compound Poisson process. We provide some large deviation results concerning these two risk processes in the small-claim case. Finally, we derive the so...
متن کاملReinsurance 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 کاملForms of Reinsurance
Reinsurance plays an important role in reducing the risk in an insurance portfolio. In this article we give an overview of the most relevant classical reinsurance concepts from a practical point of view. We will explain how the different forms of reinsurance affect the stability of insurance portfolios.
متن کاملA Method For Projecling Individual Large Claims
Motivation. The paper will address the issue of estimating the uncertainty in the run off of individual large claims in insurance portfolios, which is often the primary source of uncertainty in the reserving risk component of insurance risk. Method. The paper begins by reviewing current methodologies for estimating the uncertainty in loss reserves. Methods until now have focused on aggregate mo...
متن کاملMore answers on reinsurance.
ance as a strategy to maintain or increase health insurance coverage. SCI’s October 2004 Issue Brief, The Role of Reinsurance in State Efforts to Expand Coverage, concluded that reinsurance programs must be built carefully in order to achieve this goal. This In Focus is designed as a supplemental technical guide for state policymakers who are interested in using reinsurance to expand or maintai...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2006
ISSN: 0377-0427
DOI: 10.1016/j.cam.2005.03.069