The effect of excess-of-loss reinsurance with reinstatements on the cedant's portofolio
(2000) Blätter der DGVFM — Vol. 24, p. 615-627 (2000)
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- Authors
- Abstract
- The adjustment coefficient for the cedent’s retained risk after excess of loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer’s recursion. Numerical examples show the interest for the cedent to calculate the adjustment coefficient for its portfolio when buying excess of loss reinsurance with reinstatements. An optimal organization of the calculations is discussed.
- Affiliations
Louvain School of Management
Citations
Walhin, J.-F., & Paris, J. (2000). The effect of excess-of-loss reinsurance with reinstatements on the cedant’s portofolio. Blätter der DGVFM, 24, 615-627. https://doi.org/10.1007/BF02809078 (Original work published 2000)