The practical pricing of excess of loss treaties: actuarial, financial, economic and commercial aspects

Walhin, Jean-François;De Longueville, Philippe;Herfurth, L.
(2001) Belgian Actuarial Bulletin — Vol. 1, p. 40-57 (2001)

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Authors
  • Walhin, Jean-François
    Author
  • De Longueville, Philippe
    Author
  • Herfurth, L.
    Author
Abstract
In this paper, we investigate actuarial, financial, economic and commercial aspects of the pricing of an excess of loss treaty. The flexible model we propose allows the calculation of premium rates for all kinds of excess of loss treaties, even with specic clauses. We give a description of the methodology and we illustrate it with various numerical examples. The flexibility of the model easily allows for sensitivity analyses.
Affiliations
  • Louvain School of Management

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Walhin, J.-F., De Longueville, P., & Herfurth, L. (2001). The practical pricing of excess of loss treaties: actuarial, financial, economic and commercial aspects. Belgian Actuarial Bulletin, 1, 40-57. https://hdl.handle.net/2078.5/138538 (Original work published 2001)