TY - BOOK

T1 - Approximations for stop-loss reinsurance premiums

AU - Reijnen, Rajko

AU - Albers, Willem

AU - Kallenberg, Wilbert C.M.

PY - 2003

Y1 - 2003

N2 - Various approximations of stop-loss reinsurance premiums are described in literature. For a wide variety of claim size distributions and retention levels, such approximations are compared in this paper to each other, as well as to a quantitative criterion. For the aggregate claims two models are used, both involving various model parameters. In the first model the claims are simply independent, while a certain dependence structure is assumed in the second model. A relatively simple rule of thumb is formulated for choosing the best approximation for either model. This approximation satisfies the aforementioned criterion. Finally, by comparing the two models, it is demonstrated that a small degree of dependence between the claims already has a substantial effect on the stop-loss premiums. The difference can run up to a factor 500.

AB - Various approximations of stop-loss reinsurance premiums are described in literature. For a wide variety of claim size distributions and retention levels, such approximations are compared in this paper to each other, as well as to a quantitative criterion. For the aggregate claims two models are used, both involving various model parameters. In the first model the claims are simply independent, while a certain dependence structure is assumed in the second model. A relatively simple rule of thumb is formulated for choosing the best approximation for either model. This approximation satisfies the aforementioned criterion. Finally, by comparing the two models, it is demonstrated that a small degree of dependence between the claims already has a substantial effect on the stop-loss premiums. The difference can run up to a factor 500.

KW - MSC-62P05

KW - MSC-62E17

M3 - Report

T3 - Memorandum Faculty of Mathematical Sciences

BT - Approximations for stop-loss reinsurance premiums

PB - University of Twente, Faculty of Mathematical Sciences

CY - Enschede

ER -