On the Practical Multiline Excess of Loss Pricing

More and more ceding companies are asking for global protections of their portfolios. One example is the protection by the reinsurer of two (or more) lines, e.g. fire and motor third party liability. Clearly this allows the insurance company to optimally balance its portfolio and to pay the lowest reinsurance premium. In this paper we analyze how to price an excess of loss treaty covering multiple lines.