The limit-equivalence of the excess-of-loss and largest claims reinsurance treaty

DOI10.1007/BF02808424MaRDI QIDQ4012965zbMATH OpenFDO

Authors Erhard Kremer

Publication date 27 September 1992

Published in Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencylimiting efficiencyexcess-of-loss treatylargest claims reinsurance covers

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• An elementary upper bound on the loading of a largest claims reinsurance cover
• Reinsurance of large claims
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• The Largest Claims Treaty ECOMOR
• Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession

Cites work

• Optimal reinsurances

Cited in

(4)

• The Largest Claims Treaty ECOMOR
• On the choice of the parameter p of the LCR (p)-treaty
• An elementary upper bound on the loading of a largest claims reinsurance cover
• Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession

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