Bounds for Stop-Loss Premium Under Restrictions on the Chi-Square Statistic
نویسندگان
چکیده
Stop-loss reinsurance is one type of reinsurance contract that has attracted recent attention. In the simplest form of this contract, a reinsurer agrees to pay all losses of the insurer in excess of an agreed limit. This paper concerns the computation of bounds on the stop{loss premium when the loss distribution is unknown, but information about past claim experience is available in the form of frequencies of claims in each of a set of intervals. We use a dual approach to calculate the bounds on the premium by placing limits on the chi{square statistic or modi ed chi-square statistic as measures of the proximity of the loss distribution to the empirical distribution. This approach requires optimization with respect to a single dual variable if the chi-square statistic is Reinsurance Group of America, 1370 Timberlake Manor Parkway, Chester eld, MO 63017 Dept. of Industrial Engineering, The University of Iowa, Iowa City, IA 52242
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