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Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model
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Autores
Orientador(es)
Resumo(s)
We study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model [In: Transactions of the XV International Congress of Actuaries]. We show that the insurer’s adjustment coefficient is a unimodal function of the retention levels when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the expected value principle.
Descrição
Palavras-chave
Sparre Anderson Model Adjustment Coefficient Reinsurance Excess of Loss Quota-share Combinations of Excess of Loss and Quota-share Reinsurance
Contexto Educativo
Citação
Centeno, M. de Lourdes.(2002). “Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model”. Insurance: Mathematics and Economics, Vol. 30, Issue 1: pp. 37-49. (Search PDF in 2023).
Editora
Elsevier