Show simple item record

dc.contributor.authorHess, Christian
dc.date.accessioned2010-09-08T13:56:44Z
dc.date.available2010-09-08T13:56:44Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4715
dc.language.isoenen
dc.subjectCedent's point of viewen
dc.subjectExtreme value theoryen
dc.subjectOrder statisticsen
dc.subjectLargest claims reinsuranceen
dc.subject.ddc332en
dc.subject.classificationjelC65en
dc.titleComputing the mean and the variance of the cedent's share for largest claims reinsurance coversen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameInsurance: Mathematics and Economics
dc.relation.isversionofjnlvol44en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages497-504en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.insmatheco.2009.02.003en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record