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A Note on the Net Premium for a Generalized Largest Claims Reinsurance Cover

Published online by Cambridge University Press:  29 August 2014

Raoul M. Berglund
Raoul M. Berglund*
Affiliation:
Department of Mathematics, Åbo Akademi University
*
Åbo Akademi University, Department of Mathematics, Fänriksgatan 3 B, 20500 Åbo, Finland
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Abstract

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In the present paper the author gives net premium formulae for a generalized largest claims reinsurance cover. If the claim sizes are mutually independent and identically 3-parametric Pareto distributed and the number of claims has a Poisson, binomial or negative binomial distribution, formulae are given from which numerical values can easily be obtained. The results are based on identities for compounded order statistics.

Keywords

Net premiumReinsuranceLCRECOMORCompounded order statistics
Type
Workshops
Information
ASTIN Bulletin: The Journal of the IAA , Volume 28 , Issue 1 , May 1998 , pp. 153 - 162
Copyright
Copyright © International Actuarial Association 1998

References

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