An insight into the excess of loss retention limit

DOI10.1080/03461238.1991.10413884zbMATH Open0783.62082OpenAlexW1992109816MaRDI QIDQ4034585FDOQ4034585

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

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

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)

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
• Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
• Excess of loss reinsurance under joint survival optimality

This page was built for publication: An insight into the excess of loss retention limit

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4034585)