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Computing the mean and the variance of the cedent's share for largest claims reinsurance covers

Hess, Christian (2009), Computing the mean and the variance of the cedent's share for largest claims reinsurance covers, Insurance: Mathematics and Economics, 44, 3, p. 497-504. http://dx.doi.org/10.1016/j.insmatheco.2009.02.003

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Type
Article accepté pour publication ou publié
Date
2009
Journal name
Insurance: Mathematics and Economics
Volume
44
Number
3
Publisher
Elsevier
Pages
497-504
Publication identifier
Metadata
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Author(s)
Hess, Christian
Abstract (EN)
We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claimsizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.
Subjects / Keywords
Cedent's point of view; Extreme value theory; Order statistics; Largest claims reinsurance
JEL
C65 - Miscellaneous Mathematical Tools