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Premium Calculation for Deductible Policies with an Aggregate Limit

Published online by Cambridge University Press:  29 August 2014

Thomas Mack
Thomas Mack*
Affiliation:
Münchener Rückversicherungs-Gesellschaft, Munich
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Abstract

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In Industrial Fire insurance an aggregate limit for the amount retained by the policyholder under a deductible policy has been agreed upon more frequently in recent times. This agreement is equivalent to a stop-loss cover on the retained loss amount. For the Poisson-lognormal model the corresponding stop-loss net premium is calculated using various methods (normal power, translated gamma, various discretisations) and the methods are compared. Finally, the influence of the model parameters is examined and it is demonstrated how a variety of parameter value combinations can be reduced to only a few rating curves.

Keywords

Deductiblesaggregate limitstop-loss premiumIndustrial Fire insurancePoisson-lognormal model
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 14 , Issue 2 , October 1984 , pp. 105 - 121
Copyright
Copyright © International Actuarial Association 1984

References

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