Matching tower information with piecewise Pareto

DOI10.1007/S13385-018-0177-3MaRDI QIDQ66265zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

collective risk modelPareto distributionreinsurance pricing

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 2188756 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Generalizations of common ILF models
• Loss Models
• Modeling with Weibull-Pareto models
• On composite lognormal-Pareto models
• Reinsurance. Actuarial and statistical aspects

Cited in

(2)

• Premium rating without losses
• Pareto

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