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Excess of Loss Reinsurance with Reinstatements Revisited

Published online by Cambridge University Press:  17 April 2015

Werner Hürlimann
Werner Hürlimann*
Affiliation:
Feldstrasse 145, CH-8004 Zürich, Switzerland, Tel.: +41 61 206 06 64, E-mail: werner.huerlimann@aon.ch, URL: www.geocities.com/hurlimann53
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Abstract

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The classical evaluation of pure premiums for excess of loss reinsurance with reinstatements requires the knowldege of the claim size distribution of the insurance risk. In the situation of incomplete information, where only a few characteristics of the aggregate claims to an excess of loss layer can be estimated, the method of stop-loss ordered bounds yields a simple analytical distribution-free approximation to pure premiums of excess of loss reinsurance with reinstatements. It is shown that the obtained approximation is enough accurate for practical purposes and improves the analytical approximations obtained using either a gamma, translated gamma, translated inverse Gaussian or a mixture of the last two distributions.

Keywords

Excess of lossreinstatementaggregate deductibleaggregate limitcompound PoissonParetostop-loss order
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 35 , Issue 1 , May 2005 , pp. 211 - 238
Copyright
Copyright © ASTIN Bulletin 2005

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