Matching tower information with piecewise Pareto

DOI10.1007/S13385-018-0177-3zbMATH Open1422.91374OpenAlexW2809718004WikidataQ129585843 ScholiaQ129585843MaRDI QIDQ66265FDOQ66265

Authors: Ulrich Riegel 

Publication date: 30 June 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-018-0177-3

Recommendations

• Optimal allocation of policy limits in layer reinsurance treaties
• Analysis of risk measures for reinsurance layers
• On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation
• Reserving consecutive layers of inwards excess-of-loss reinsurance
• Pareto-optimal reinsurance arrangements under general model settings

zbMATH Keywords

collective risk modelPareto distributionreinsurance pricing

Mathematics Subject Classification ID

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

Cites Work

• Reinsurance. Actuarial and statistical aspects
• Modeling with Weibull-Pareto models
• On composite lognormal-Pareto models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Loss Models
• Generalizations of common ILF models

Cited In (2)

• Premium rating without losses
• Pareto

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