Abstract
The aim of this paper is to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rata capita clause, we will study the rate on line method. For the pro rata temporis clause, we will study the use of a trivial approximation. The effect of an aggregate deductible is also looked at.
KEYWORDS: Excess of loss reinsurance, reinstatements, pro rata capita, pro rata temporis, rate on line, aggregate deductible, order statistic, Panjer's algorithm, convolutions.
Volume
Porto Cervo, Italy
Year
2000
Categories
Actuarial Applications and Methodologies
Ratemaking
Deductibles, Retentions, and Limits
Business Areas
Reinsurance
Excess (Non-Proportional);
Financial and Statistical Methods
Aggregation Methods
Panjer
Publications
ASTIN Colloquium
