English, Article edition: Computing the mean and the variance of the cedent's share for largest claims reinsurance covers Hess, Christian

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Computing the mean and the variance of the cedent's share for largest claims reinsurance covers
Author
  • Hess, Christian
Physical Description
  • article
Notes
  • 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 claim sizes. 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.
  • Largest claims reinsurance Order statistics Extreme value theory Cedent's point of view
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:497-504
Language
  • English
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