Stochastic projection for large individual losses

Drieskens, Damien;Henry, Marc;Walhin, Jean-François;Wielandts, Jürgen
(2012) Scandinavian Actuarial Journal — n° 1, p. 1-39 (2012)

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Authors
  • Drieskens, Damien
    Author
  • Henry, Marc
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  • Walhin, Jean-François
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  • Wielandts, Jürgen
    Author
Abstract
In this paper we investigate how to estimate ultimate values of large losses. The method is based on the development of individual losses and therefore allows to compute the netting impact of excess of loss reinsurance. In particular the index clause is properly accounted for. A numerical example based on real-life data is provided. © 2012 Taylor and Francis Group, LLC.

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Drieskens, D., Henry, M., Walhin, J.-F., & Wielandts, J. (2012). Stochastic projection for large individual losses. Scandinavian Actuarial Journal, 1, 1-39. https://doi.org/10.1080/03461231003759708 (Original work published 2012)