English, Article edition: A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts Cerqueti, Roy; Foschi, Rachele; Spizzichino, Fabio

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
Author
  • Cerqueti, Roy
  • Foschi, Rachele
  • Spizzichino, Fabio
Physical Description
  • article
Notes
  • In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed Poisson Process. By using an invariance property of the Spatial Mixed Poisson Processes, we estimate the amount that the ceding company obtains in a fixed time interval in force of the reinsurance contract.
  • IM11 IM52 Reinsurance models with delays Invariance properties of spatial point processes Order statistic property Intensity of a Spatial Mixed Poisson Process
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:59-64
Language
  • English
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