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

DOI10.1016/j.insmatheco.2009.02.003zbMath1162.91416OpenAlexW2003221362MaRDI QIDQ1023118

Hess, Christian

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/4715

zbMATH Keywords

order statisticsextreme value theorylargest claims reinsurancecedent's point of view

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

• Finite formulae for the premium of the general reinsurance treaty based on ordered claims
• Reinsurance of large claims
• An asymptotic formula for the net premium of some reinsurance treaties
• A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover
• Statistics of Extremes
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