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The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio

Author

Listed:
  • Walhin, J.F.
  • Paris, J.
Abstract
The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the interest for the cedent to calculate the adjustment coeeficient for its portfolio when buying excess of loss reinsurance with reinstatements. An optimal organization is discussed.

Suggested Citation

  • Walhin, J.F. & Paris, J., 2000. "The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio," Papers 3, Catholique de Louvain - Institut de statistique.
    • Handle: RePEc:fth:louvis:3
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    More about this item

    Keywords

    ECONOMETRICS ; RISK ; INSURANCE;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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