Author(s): Davila, Maria Angélica Ojeda
Date: 2013
Persistent ID: http://hdl.handle.net/10400.5/6044
Origin: Repositório da UTL
Subject(s): Excess of Loss Reinsurance with reinstatements; Initial Reinsurance premium; Adjustment coefficient; Bivariate Panjer’s Recursion Formula; Optimal Layer
Mestrado em Ciências Actuariais
In this dissertation we present a general procedure for the calculation of the adjustment coefficient of the retained risk for an excess of loss reinsurance with reinstatements, when there is no aggregate deductible, following the model studied by Sundt (1991). We study how to calculate the initial reinsurance premium for this kind of contracts, when there is an aggregate layer, under different premium principles such as pure premium, expected value premium, standard deviation premium and the proportional hazard premium principles. In order to calculate the insurer’s adjustment coefficient we need to find the joint distribution of the insurer’s total claims and the aggregate claims of the reinsurer, considering an excess of loss reinsurance contract without reinstatements. For this reason, we study the bivariate Panjer’s recursion developed by Sundt (1999). Numerical examples, including selection of the optimal layer, are discussed in this dissertation.
