An insight into the excess of loss retention limit

DOI10.1080/03461238.1991.10413884MaRDI QIDQ4034585zbMATH OpenOpenAlexFDO

Authors Lourdes Centeno

Publication date 16 May 1993

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1991.10413884

zbMATH Keywords

algorithmadjustment coefficientexcess of loss reinsuranceexpected value principleretention limitreinsurance premiumoptimum retention

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Calculation of the maximum retentions in XL reinsurance
• Properties of functions of the excess of loss retention limit with applications
• Dependent risks and excess of loss reinsurance
• Optimal layer reinsurance on the maximization of the adjustment coefficient
• The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio

Cites work

• Some mathematical aspects of reinsurance

Cited in

(5)

• Reinsurance and ruin
• Properties of functions of the excess of loss retention limit with applications
• A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
• Excess of loss reinsurance under joint survival optimality
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting

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