Approximations for stop-loss reinsurance premiums

Rajko Reijnen, Willem/Wim Albers, W.C.M. Kallenberg

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    6 Citations (Scopus)

    Abstract

    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.
    Original languageUndefined
    Article number10.1016/j.insmatheco.2005.02.001
    Pages (from-to)237-250
    Number of pages14
    JournalInsurance: mathematics & economics
    Volume36
    Issue number3
    DOIs
    Publication statusPublished - 2005

    Keywords

    • EWI-12821
    • MSC-62E17
    • MSC-62P05
    • Individual model
    • Aggregate claims
    • stop-loss premium
    • METIS-224164
    • IR-62326
    • Dependent claims

    Cite this

    Reijnen, R., Albers, WW., & Kallenberg, W. C. M. (2005). Approximations for stop-loss reinsurance premiums. Insurance: mathematics & economics, 36(3), 237-250. [10.1016/j.insmatheco.2005.02.001]. https://doi.org/10.1016/j.insmatheco.2005.02.001