Analysis of risk measures for reinsurance layers

DOI10.1016/J.INSMATHECO.2005.12.005zbMath1168.91416OpenAlexW2002053854MaRDI QIDQ2499842

Sophie A. Ladoucette, Jozef L. Teugels

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.12.005

zbMATH Keywords

risk measuresproportional reinsurancelayersnonproportional reinsurancequota-sharestop-lossexcess-of-lossdrop down excess-of-loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (4)

Tail asymptotic expansions for \(L\)-statistics ⋮ An Industrial Organization Theory of Risk Sharing ⋮ Actuarial comparisons for aggregate claims with randomly right-truncated claims ⋮ Dependence and the asymptotic behavior of large claims reinsurance

Cites Work

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• Reinsurance of large claims
• Limit distributions for the ratio of the random sum of squares to the square of the random sum with applications to risk measures
• Reinsurance

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