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Authors
Advisor(s)
Abstract(s)
This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions.
Description
Keywords
Reinsurance Quota-share Excess of Loss Skewness Coefficient of Variation Constrained Optimization
Pedagogical Context
Citation
Centeno, M. Lourdes. (1985) ."On combining quota-share and excess of loss" . ASTIN Bulletin: The Journal of the IAA, Vol. 15. No.1: pp. 49-63. (Search PDF in 2023).
Publisher
Cambridge University Press