Abstract
| Original language | Undefined |
|---|---|
| Article number | 10.1016/j.insmatheco.2005.02.001 |
| Pages (from-to) | 237-250 |
| Number of pages | 14 |
| Journal | Insurance: mathematics & economics |
| Volume | 36 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2005 |
Keywords
- EWI-12821
- MSC-62E17
- MSC-62P05
- Individual model
- Aggregate claims
- stop-loss premium
- METIS-224164
- IR-62326
- Dependent claims
Cite this
}
Approximations for stop-loss reinsurance premiums. / Reijnen, Rajko; Albers, Willem/Wim; Kallenberg, W.C.M.
In: Insurance: mathematics & economics, Vol. 36, No. 3, 10.1016/j.insmatheco.2005.02.001, 2005, p. 237-250.Research output: Contribution to journal › Article › Academic › peer-review
TY - JOUR
T1 - Approximations for stop-loss reinsurance premiums
AU - Reijnen, Rajko
AU - Albers, Willem/Wim
AU - Kallenberg, W.C.M.
PY - 2005
Y1 - 2005
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 - EWI-12821
KW - MSC-62E17
KW - MSC-62P05
KW - Individual model
KW - Aggregate claims
KW - stop-loss premium
KW - METIS-224164
KW - IR-62326
KW - Dependent claims
U2 - 10.1016/j.insmatheco.2005.02.001
DO - 10.1016/j.insmatheco.2005.02.001
M3 - Article
VL - 36
SP - 237
EP - 250
JO - Insurance: mathematics & economics
JF - Insurance: mathematics & economics
SN - 0167-6687
IS - 3
M1 - 10.1016/j.insmatheco.2005.02.001
ER -