Abstract
In the present paper the author gives net premium formulae for a generalized largest claims reinsurance cover. If the claim sizes are mutually independent and identically 3-parametric Pareto distributed and the number of claims has a Poisson, binomial or negative binomial distribution, formulae are given from which numerical values can easily be obtained. The results are based on identities for compounded order statistics.
Keywords: Net premium; Reinsurance; LCR; ECOMOR; Compounded order statistics
Volume
28:1
Page
153-162
Year
1998
Categories
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Loss Distributions
Severity
Actuarial Applications and Methodologies
Ratemaking
Business Areas
Reinsurance
Publications
ASTIN Bulletin
