Publication
On combining quota-share and excess of loss
| Summary: | This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions. |
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| Main Authors: | Centeno, M. de Lourdes |
| Subject: | Reinsurance Quota-share Excess of Loss Skewness Coefficient of Variation Constrained Optimization |
| Year: | 1985 |
| Country: | Portugal |
| Document type: | article |
| Access type: | open access |
| Associated institution: | Universidade de Lisboa |
| Language: | English |
| Origin: | Repositório da Universidade de Lisboa |
| Summary: | This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions. |
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