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
TypeArticle accepté pour publication ou publié
Journal nameInsurance: Mathematics and Economics
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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 / KeywordsCedent's point of view; Extreme value theory; Order statistics; Largest claims reinsurance
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