Computing the mean and the variance of the cedent's share for largest claims reinsurance covers.

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claimsizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.

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Year of publication:	2009
Authors:	Hess, Christian
Institutions:	Université Paris-Dauphine
Subject:	Cedent's point of view \| Extreme value theory \| Order statistics \| Largest claims reinsurance

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Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Insurance: Mathematics and Economics (2009) v.44, p.497-504
Classification:	C65 - Miscellaneous Mathematical Tools
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008492133