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Computing the mean and the variance of the cedent's share for largest claims reinsurance covers

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Date
2009
Dewey
Economie financière
Sujet
Cedent's point of view; Extreme value theory; Order statistics; Largest claims reinsurance
JEL code
C65
Journal issue
Insurance: Mathematics and Economics
Volume
44
Number
3
Publication date
2009
Article pages
497-504
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.insmatheco.2009.02.003
URI
https://basepub.dauphine.fr/handle/123456789/4715
Collections
  • LEDa : Publications
Metadata
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Author
Hess, Christian
Type
Article accepté pour publication ou publié
Abstract (EN)
We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claimsizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.

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